# EDGAR Filing Document

**Accession Number:** 0001314414
**File Stem:** 0001752724-23-043119
**Filing Date:** 2023-2
**Character Count:** 92543
**Document Hash:** 6be45dbb8d9f20f63072d318e3cc4149
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-043119.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-043119

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Northern Lights Fund Trust
- **CENTRAL INDEX KEY:** 0001314414
- **IRS NUMBER:** 043023766
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21720
- **FILM NUMBER:** 23674062

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 631-470-2600

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **STREET 2:** SUITE 200
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Strategy Shares
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Mutual Fund & Variable Insurance Trust
- **DATE OF NAME CHANGE:** 20160223

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Northern Lights Fund Trust
- **DATE OF NAME CHANGE:** 20050121

## Series and Classes Contracts Data

### TransWestern Institutional Short Duration Government Bond Fund (Series ID: S000030560)

| Class ID   | Class Name                                                     | Ticker Symbol   |
|:---|:---|:---|
| C000094762 | TransWestern Institutional Short Duration Government Bond Fund | TWSGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Northern Lights Fund Trust

- **b. Investment Company Act file number:** 811-21720

- **c. CIK number of Registrant:** 0001314414

- **d. LEI of Registrant:** 549300BSYF57GRCG4861

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

  - **Street Address 1:** 225 PICTORIA DRIVE

  - **City:** CINCINNATI

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 45246

  - **Telephone number:** 631-470-2600

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

- **a. Name of Series:** Transwestern Institutional Short Duration Govt Bd Fd

- **b. EDGAR series identifier (if any):** S000030560

- **c. LEI of Series:** 549300F9F3VX5D6MRP98

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $98259584.14

**Total Liabilities:** $9476296.03

**Net Assets:** $88783288.11

**Cash Not Reported:** $1980393.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 315.50097500 | **1-Year:** 10260.14487600 | **5-Year:** 15832.97104300 | **10-Year:** 5996.38272100 | **30-Year:** 17.03613400

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000094762 | -0.66%               | 1.35%                | 0.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-41147.89               | $-1035985.95                               |
| Month 2  | $-788567.79              | $2032934.75                                |
| Month 3  | $-523454.20              | $554840.45                                 |

### 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               | G2 896363        | CUSIP: 3620E0W69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792893 | PA      | $790482.25    | 0.89%             | 2062-07-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF80 AS     | CUSIP: 3137FUNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1027233 | PA      | $1010981.39   | 1.14%             | 2030-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2903 Z       | CUSIP: 31395KQM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     88283 | PA      | $85130.54     | 0.10%             | 2024-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 964760        | CUSIP: 31414FJD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103168 | PA      | $101749.93    | 0.11%             | 2038-08-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BL0481        | CUSIP: 3140HRRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2040000 | PA      | $1977685.59   | 2.23%             | 2026-01-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB5688        | CUSIP: 31417CKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69617 | PA      | $65192.37     | 0.07%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 2B7388        | CUSIP: 31326NF55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66581 | PA      | $67216.01     | 0.08%             | 2046-01-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 732087        | CUSIP: 31402LJ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16339 | PA      | $16149.59     | 0.02%             | 2033-08-01      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995552        | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17877 | PA      | $17549.04     | 0.02%             | 2035-05-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2581 FD      | CUSIP: 31393LX99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     37354 | PA      | $36112.85     | 0.04%             | 2032-12-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 1999-57 FC   | CUSIP: 31359XHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |         3 | PA      | $2.71         | 0.00%             | 2029-11-17      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AI4385        | CUSIP: 3138AH2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46637 | PA      | $45499.09     | 0.05%             | 2041-12-01      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 3036 NE      | CUSIP: 31396AXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    259086 | PA      | $257209.24    | 0.29%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2014-H14 GF  | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    394795 | PA      | $392356.96    | 0.44%             | 2064-07-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 3 7/8 11/30/27 | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |         0 | PA      | $0.00         | 0.00%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 891616        | CUSIP: 36208AZR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133290 | PA      | $133601.49    | 0.15%             | 2058-06-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725052        | CUSIP: 31402CQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22033 | PA      | $21151.94     | 0.02%             | 2033-07-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1H2695        | CUSIP: 3128QLUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37645 | PA      | $36980.27     | 0.04%             | 2036-04-01      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2013-63 YF   | CUSIP: 3136AEPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     81312 | PA      | $69085.82     | 0.08%             | 2043-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2018-H16 FA  | CUSIP: 38380LKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2200929 | PA      | $2138541.63   | 2.41%             | 2068-09-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2020-H04 FP  | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3113346 | PA      | $3065512.62   | 3.45%             | 2069-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 920847        | CUSIP: 31412CBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146450 | PA      | $150896.65    | 0.17%             | 2036-08-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1B2025        | CUSIP: 3128JMD79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106139 | PA      | $107005.86    | 0.12%             | 2034-06-01      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 803338        | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25833 | PA      | $24602.82     | 0.03%             | 2044-09-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2412 OF      | CUSIP: 31339DVL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     13763 | PA      | $13422.17     | 0.02%             | 2031-12-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 972132        | CUSIP: 31336CLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63918 | PA      | $64935.93     | 0.07%             | 2033-11-01      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H19 FH  | CUSIP: 38376RFW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     14265 | PA      | $14011.35     | 0.02%             | 2065-07-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF60 A      | CUSIP: 3137FL7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    921565 | PA      | $914439.47    | 1.03%             | 2026-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 777440        | CUSIP: 36176VPZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50105 | PA      | $47963.39     | 0.05%             | 2062-12-20      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q0160        | CUSIP: 3128S4E94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67820 | PA      | $68478.36     | 0.08%             | 2035-09-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 3620 AT      | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    170447 | PA      | $167568.41    | 0.19%             | 2036-12-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H04 FL  | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    161319 | PA      | $159788.25    | 0.18%             | 2065-02-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2012-H29 HF  | CUSIP: 38375BZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      6721 | PA      | $6410.51      | 0.01%             | 2062-10-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2011-129 FB  | CUSIP: 38376LV48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    282773 | PA      | $280852.44    | 0.32%             | 2026-06-16      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA1404        | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445321 | PA      | $417027.47    | 0.47%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H12 FL  | CUSIP: 38376RBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     50971 | PA      | $50443.72     | 0.06%             | 2065-05-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2010-60 HB   | CUSIP: 31398RGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    346097 | PA      | $344735.32    | 0.39%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 900197        | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147233 | PA      | $148932.90    | 0.17%             | 2036-10-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q1302        | CUSIP: 3128S5NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56705 | PA      | $55929.96     | 0.06%             | 2038-11-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2018-H04 FG  | CUSIP: 38380VPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    175466 | PA      | $173338.93    | 0.20%             | 2068-02-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 699985        | CUSIP: 31400WUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58492 | PA      | $57735.35     | 0.07%             | 2033-04-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 751930        | CUSIP: 31403LLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57615 | PA      | $56672.88     | 0.06%             | 2033-10-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2978 JG      | CUSIP: 31395UKP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    177658 | PA      | $176749.79    | 0.20%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 684842        | CUSIP: 31400DZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25279 | PA      | $24515.30     | 0.03%             | 2030-01-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNA 2017-M3 A2   | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1515283 | PA      | $1400172.30   | 1.58%             | 2026-12-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1890        | CUSIP: 3138EJC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649909 | PA      | $648062.11    | 0.73%             | 2037-03-01      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H09 HA  | CUSIP: 38375UWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |       894 | PA      | $803.34       | 0.00%             | 2065-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 847103        | CUSIP: 3128HD3L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40212 | PA      | $39290.74     | 0.04%             | 2033-01-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 848690        | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386762 | PA      | $393452.86    | 0.44%             | 2037-03-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2014-H16 FL  | CUSIP: 38375UNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    337846 | PA      | $333266.00    | 0.38%             | 2064-07-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4 1/4 12/31/24 | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4905000 | PA      | $4891013.10   | 5.51%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 897906        | CUSIP: 3620E0VW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470715 | PA      | $470152.80    | 0.53%             | 2062-06-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 AG8190        | CUSIP: 36182DC37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19803 | PA      | $19814.50     | 0.02%             | 2064-09-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H11 FA  | CUSIP: 38376RAZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      1652 | PA      | $1578.27      | 0.00%             | 2065-04-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2003-35 FG   | CUSIP: 31393BM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      2439 | PA      | $2332.87      | 0.00%             | 2033-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2014-H12 HZ  | CUSIP: 38375UJX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3695645 | PA      | $3659207.94   | 4.12%             | 2064-06-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q0092        | CUSIP: 3128S4C54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75745 | PA      | $76594.09     | 0.09%             | 2036-03-01      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF93 AS     | CUSIP: 3137F73D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    227807 | PA      | $224051.54    | 0.25%             | 2027-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 845830        | CUSIP: 31288VPP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2544 | PA      | $2502.82      | 0.00%             | 2024-07-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 751387        | CUSIP: 36230KRG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1074 | PA      | $1056.49      | 0.00%             | 2061-01-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 848565        | CUSIP: 31300LQS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23932 | PA      | $23578.43     | 0.03%             | 2037-12-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KJ28 A1     | CUSIP: 3137FREB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      3932 | PA      | $3899.00      | 0.00%             | 2025-02-25      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 848949        | CUSIP: 31300L5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    948707 | PA      | $967958.67    | 1.09%             | 2038-09-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995269        | CUSIP: 31416BT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26224 | PA      | $26539.87     | 0.03%             | 2035-07-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AQ6238        | CUSIP: 3138MM4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596798 | PA      | $558950.48    | 0.63%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 757339        | CUSIP: 36230SEL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       390 | PA      | $380.51       | 0.00%             | 2062-02-20      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KJ20 A2     | CUSIP: 3137FGZ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1439210 | PA      | $1404139.43   | 1.58%             | 2025-12-25      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL2559        | CUSIP: 3138EJZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8911 | PA      | $8754.35      | 0.01%             | 2041-07-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 886376        | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25494 | PA      | $25608.99     | 0.03%             | 2036-08-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2102 PE      | CUSIP: 3133THG84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     44134 | PA      | $44100.78     | 0.05%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 AK0197        | CUSIP: 36183HGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45325 | PA      | $45245.95     | 0.05%             | 2064-09-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0870        | CUSIP: 31419A6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51661 | PA      | $52180.13     | 0.06%             | 2036-11-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2019-H13 FT  | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    115032 | PA      | $115006.28    | 0.13%             | 2069-08-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 3862 GA      | CUSIP: 3137AAPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     53413 | PA      | $50099.21     | 0.06%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 889822        | CUSIP: 31410KSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136593 | PA      | $137797.02    | 0.16%             | 2035-07-01      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 748848        | CUSIP: 31403G5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20036 | PA      | $20699.81     | 0.02%             | 2037-06-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2448 FV      | CUSIP: 31392KYW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     25148 | PA      | $24517.98     | 0.03%             | 2032-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2002-16 VF   | CUSIP: 31392CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     29099 | PA      | $28031.71     | 0.03%             | 2032-04-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2000-45 FG   | CUSIP: 31358SZZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     91352 | PA      | $88413.04     | 0.10%             | 2030-12-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2013-H25 SA  | CUSIP: 38375UBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    825970 | PA      | $822243.67    | 0.93%             | 2063-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB7016        | CUSIP: 31417DYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318222 | PA      | $305817.65    | 0.34%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 555375        | CUSIP: 31385W6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131357 | PA      | $136184.79    | 0.15%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 303212        | CUSIP: 31373TYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2335 | PA      | $2300.10      | 0.00%             | 2025-02-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 759745        | CUSIP: 36230UZJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4335 | PA      | $4280.89      | 0.00%             | 2062-05-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 832249        | CUSIP: 31407JTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52845 | PA      | $52084.04     | 0.06%             | 2035-08-01      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2013-H22 FT  | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    711252 | PA      | $710459.65    | 0.80%             | 2063-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 780722        | CUSIP: 31342AYT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451922 | PA      | $459923.57    | 0.52%             | 2033-08-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG U92432        | CUSIP: 3132HCSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102963 | PA      | $98824.20     | 0.11%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                       | FN CB2846        | CUSIP: 3140QNEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3206857 | PA      | $2621341.98   | 2.95%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2012-H21 CF  | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     20078 | PA      | $19301.10     | 0.02%             | 2061-05-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS Q008 A      | CUSIP: 3137FKJH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    447388 | PA      | $442974.88    | 0.50%             | 2045-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF82 AL     | CUSIP: 3137FV2F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1107723 | PA      | $1091208.90   | 1.23%             | 2030-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2018-H02 FJ  | CUSIP: 38375U6F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     11073 | PA      | $10960.05     | 0.01%             | 2064-10-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 710065        | CUSIP: 36297EZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13903 | PA      | $13547.79     | 0.02%             | 2061-02-20      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA3536        | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246248 | PA      | $235321.15    | 0.27%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG Q20545        | CUSIP: 3132JMTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369516 | PA      | $346960.16    | 0.39%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1270        | CUSIP: 3138EHMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448170 | PA      | $456161.90    | 0.51%             | 2034-10-01      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 AG8275        | CUSIP: 36182DFQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30395 | PA      | $30427.14     | 0.03%             | 2065-03-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2005-29 WQ   | CUSIP: 31394DJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     28152 | PA      | $27682.77     | 0.03%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 783028        | CUSIP: 31349ULH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83441 | PA      | $84298.05     | 0.09%             | 2035-02-01      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS K029 A2     | CUSIP: 3137B36J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    669090 | PA      | $666922.16    | 0.75%             | 2023-02-25      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 766556        | CUSIP: 36176HMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1797 | PA      | $1769.54      | 0.00%             | 2062-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 823235        | CUSIP: 31406XSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7562 | PA      | $7493.33      | 0.01%             | 2035-06-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995008        | CUSIP: 31416BKV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43702 | PA      | $43711.80     | 0.05%             | 2036-10-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                           | B 01/10/23       | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2835000 | PA      | $2832961.06   | 3.19%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H05 FA  | CUSIP: 38375UUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      2449 | PA      | $2353.22      | 0.00%             | 2061-04-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS Q016 APT1   | CUSIP: 3137H2NT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1293098 | PA      | $1174991.76   | 1.32%             | 2051-05-25      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 899650        | CUSIP: 3620E1AY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523965 | PA      | $532393.17    | 0.60%             | 2063-02-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0332        | CUSIP: 3138EGLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67037 | PA      | $67608.87     | 0.08%             | 2034-09-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1J1382        | CUSIP: 3128NHRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145237 | PA      | $141794.00    | 0.16%             | 2036-11-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 880373        | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100039 | PA      | $100748.00    | 0.11%             | 2036-02-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 1628 LZ      | CUSIP: 3133T3KK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     12348 | PA      | $12001.13     | 0.01%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 879683        | CUSIP: 31409VJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6780 | PA      | $6751.98      | 0.01%             | 2036-09-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FR SB8031        | CUSIP: 3132D54Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    468030 | PA      | $430487.22    | 0.48%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 773437        | CUSIP: 36176RBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1363 | PA      | $1265.68      | 0.00%             | 2062-02-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0883        | CUSIP: 3138EG6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14885 | PA      | $14543.27     | 0.02%             | 2038-01-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1271        | CUSIP: 3138EHMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36973 | PA      | $36356.22     | 0.04%             | 2033-10-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 910289        | CUSIP: 31411KKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271200 | PA      | $268693.05    | 0.30%             | 2037-03-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 899633        | CUSIP: 3620E06X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791271 | PA      | $804241.34    | 0.91%             | 2063-01-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 899765        | CUSIP: 3620E1AJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    743776 | PA      | $755333.89    | 0.85%             | 2063-02-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2016-H02 FH  | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    489225 | PA      | $482775.27    | 0.54%             | 2066-01-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2557 WF      | CUSIP: 31393JPL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     11528 | PA      | $11046.65     | 0.01%             | 2033-01-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 838444        | CUSIP: 31407RP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34436 | PA      | $33815.79     | 0.04%             | 2035-08-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 906281        | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16985 | PA      | $16750.83     | 0.02%             | 2037-01-01      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL1288        | CUSIP: 3138EHNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145039 | PA      | $145577.47    | 0.16%             | 2037-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2450 FW      | CUSIP: 31392KN93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      7016 | PA      | $6744.63      | 0.01%             | 2032-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2012-H11 FA  | CUSIP: 38375BSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    184615 | PA      | $182822.26    | 0.21%             | 2062-02-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 642012        | CUSIP: 31390CGV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19688 | PA      | $19405.57     | 0.02%             | 2032-05-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KJ37 A2     | CUSIP: 3137H5FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2335000 | PA      | $2046683.54   | 2.31%             | 2030-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 899651        | CUSIP: 3620E1AW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268301 | PA      | $273708.93    | 0.31%             | 2063-02-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888310        | CUSIP: 31410F3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19035 | PA      | $18640.96     | 0.02%             | 2037-04-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2018-H11 FJ  | CUSIP: 38380LFQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    902840 | PA      | $882170.13    | 0.99%             | 2068-06-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 783245        | CUSIP: 31405AES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18264 | PA      | $17653.01     | 0.02%             | 2034-04-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AQ9715        | CUSIP: 3138MRYM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395436 | PA      | $354255.32    | 0.40%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2008-86 LA   | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     78249 | PA      | $73861.61     | 0.08%             | 2038-08-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 899072        | CUSIP: 3620E02E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173279 | PA      | $176951.73    | 0.20%             | 2062-10-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 3561 W       | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    130981 | PA      | $112630.50    | 0.13%             | 2048-06-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN BM1078        | CUSIP: 3140J5FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2237270 | PA      | $2274326.93   | 2.56%             | 2040-12-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 710084        | CUSIP: 36297E2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10564 | PA      | $10426.31     | 0.01%             | 2061-08-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 829608        | CUSIP: 31407FU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80136 | PA      | $81867.57     | 0.09%             | 2035-08-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 4 1/8 11/15/32 | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2125000 | PA      | $2176796.88   | 2.45%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995949        | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12428 | PA      | $12468.13     | 0.01%             | 2036-09-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 888628        | CUSIP: 31410GHD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39136 | PA      | $38477.33     | 0.04%             | 2037-07-01      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 880366        | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19993 | PA      | $20414.10     | 0.02%             | 2036-02-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2020-H02 FG  | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4200668 | PA      | $4143190.80   | 4.67%             | 2070-01-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 849046        | CUSIP: 31300MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262641 | PA      | $261769.09    | 0.29%             | 2041-09-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 846695        | CUSIP: 31408BUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9168 | PA      | $9011.07      | 0.01%             | 2035-11-01      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2003-134 FC  | CUSIP: 31393UTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     71741 | PA      | $70945.25     | 0.08%             | 2032-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 721424        | CUSIP: 31401XPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59300 | PA      | $58634.46     | 0.07%             | 2033-06-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 889819        | CUSIP: 31410KSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193488 | PA      | $195252.85    | 0.22%             | 2037-04-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725392        | CUSIP: 31402C2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27700 | PA      | $26965.28     | 0.03%             | 2034-04-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1L1358        | CUSIP: 3128Q3QK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162591 | PA      | $165993.40    | 0.19%             | 2036-05-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                           | T 3 7/8 12/31/27 | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $498007.81    | 0.56%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF93 AL     | CUSIP: 3137F73C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    189227 | PA      | $186728.14    | 0.21%             | 2027-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 848568        | CUSIP: 31300LQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49183 | PA      | $48218.20     | 0.05%             | 2038-09-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 848575        | CUSIP: 31300LQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119100 | PA      | $120425.60    | 0.14%             | 2036-02-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 846749        | CUSIP: 31408BWJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117067 | PA      | $114742.07    | 0.13%             | 2036-01-01      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 AG8209        | CUSIP: 36182DDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38088 | PA      | $38100.51     | 0.04%             | 2064-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 899633        | CUSIP: 31410WPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1528 | PA      | $1534.95      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FHMS KJ42 A2     | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2580000 | PA      | $2482092.35   | 2.80%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 813844        | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57754 | PA      | $58428.04     | 0.07%             | 2035-01-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2012-H20 PT  | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    343734 | PA      | $342871.54    | 0.39%             | 2062-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 894530        | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33788 | PA      | $33997.77     | 0.04%             | 2035-05-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q1131        | CUSIP: 3128S5HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28073 | PA      | $27304.50     | 0.03%             | 2037-06-01      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2003-72 Z    | CUSIP: 38374BQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     42416 | PA      | $41459.30     | 0.05%             | 2045-11-16      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN MA4562        | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3069689 | PA      | $2509235.07   | 2.83%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2012-124 HT  | CUSIP: 38378H4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      9837 | PA      | $9519.16      | 0.01%             | 2032-07-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG Q18571        | CUSIP: 3132J96H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534011 | PA      | $501077.61    | 0.56%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q0647        | CUSIP: 3128S4WG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23510 | PA      | $23123.19     | 0.03%             | 2038-11-01      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD0541        | CUSIP: 31418MS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346227 | PA      | $353475.99    | 0.40%             | 2033-11-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 735667        | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54389 | PA      | $55639.60     | 0.06%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 757348        | CUSIP: 36230SEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1040 | PA      | $1029.78      | 0.00%             | 2062-06-20      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 995134        | CUSIP: 31416BPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12224 | PA      | $12213.63     | 0.01%             | 2036-06-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KJ21 A2     | CUSIP: 3137FHGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1640331 | PA      | $1591906.34   | 1.79%             | 2026-09-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                           | B 01/03/23       | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6875000 | PA      | $6873657.87   | 7.74%             | 2023-01-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2002-30 FB   | CUSIP: 31392CH49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     47163 | PA      | $46014.61     | 0.05%             | 2031-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AD0959        | CUSIP: 31418NB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85260 | PA      | $85763.36     | 0.10%             | 2037-07-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2013-H02 GF  | CUSIP: 38375BH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     12930 | PA      | $12377.28     | 0.01%             | 2062-12-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 898436        | CUSIP: 3620E1AM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277346 | PA      | $280870.02    | 0.32%             | 2063-02-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 805753        | CUSIP: 31406CE20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126668 | PA      | $126665.76    | 0.14%             | 2035-01-01      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2002-71 AP   | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      8849 | PA      | $8484.71      | 0.01%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2131 ZB      | CUSIP: 3133TK5Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     27906 | PA      | $27040.68     | 0.03%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 896982        | CUSIP: 3620E0Q58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96037 | PA      | $96268.56     | 0.11%             | 2061-12-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AO4163        | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413745 | PA      | $387408.35    | 0.44%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 3412 AY      | CUSIP: 31397RFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    127970 | PA      | $122358.68    | 0.14%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 898433        | CUSIP: 3620E05W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239050 | PA      | $243715.96    | 0.27%             | 2063-01-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 765229        | CUSIP: 36176F4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4170 | PA      | $3920.74      | 0.00%             | 2062-11-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FG G08448        | CUSIP: 3128MJQA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70436 | PA      | $71378.57     | 0.08%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF77 AL     | CUSIP: 3137FRYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1475672 | PA      | $1472964.37   | 1.66%             | 2027-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 964244        | CUSIP: 31414EWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124543 | PA      | $123169.87    | 0.14%             | 2038-07-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 848685        | CUSIP: 31300LUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107601 | PA      | $107815.49    | 0.12%             | 2036-02-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 AE9606        | CUSIP: 36181DU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29538 | PA      | $29613.31     | 0.03%             | 2064-08-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB9096        | CUSIP: 31417GDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136716 | PA      | $131049.16    | 0.15%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2768 PW      | CUSIP: 31394TAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     28315 | PA      | $26355.56     | 0.03%             | 2034-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF72 A      | CUSIP: 3137FQ3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1336907 | PA      | $1332677.29   | 1.50%             | 2026-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q1380        | CUSIP: 3128S5Q98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154815 | PA      | $152597.79    | 0.17%             | 2038-03-01      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF82 AS     | CUSIP: 3137FV2G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    738482 | PA      | $726176.65    | 0.82%             | 2030-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2014-H14 FA  | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    590583 | PA      | $584993.30    | 0.66%             | 2064-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 725320        | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5286 | PA      | $5246.95      | 0.01%             | 2039-08-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 783000        | CUSIP: 31349UKM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88349 | PA      | $86149.85     | 0.10%             | 2035-01-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AO8169        | CUSIP: 3138M0CF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2375380 | PA      | $2224478.82   | 2.51%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AB5519        | CUSIP: 31417CDZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265723 | PA      | $248809.42    | 0.28%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF81 AL     | CUSIP: 3137FUZR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    398783 | PA      | $392293.46    | 0.44%             | 2027-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AJ0875        | CUSIP: 3138AR6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331007 | PA      | $335549.84    | 0.38%             | 2041-10-01      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2011-H23 HA  | CUSIP: 38375BNT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      3738 | PA      | $3424.49      | 0.00%             | 2061-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS KF81 AS     | CUSIP: 3137FUZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    298690 | PA      | $295343.38    | 0.33%             | 2027-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 863729        | CUSIP: 31408XSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33378 | PA      | $32493.05     | 0.04%             | 2036-01-01      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AE0354        | CUSIP: 31419AMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74401 | PA      | $75597.65     | 0.09%             | 2037-09-01      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 2526 FC      | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     59686 | PA      | $57234.30     | 0.06%             | 2032-11-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHMS Q015 A      | CUSIP: 3137FYUR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    467954 | PA      | $466314.48    | 0.53%             | 2024-08-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 838948        | CUSIP: 31407SBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109110 | PA      | $109900.27    | 0.12%             | 2035-08-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2005-100 BQ  | CUSIP: 31394URQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     18819 | PA      | $18122.67     | 0.02%             | 2025-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2020-35 FA   | CUSIP: 3136BANP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1753142 | PA      | $1744205.03   | 1.96%             | 2050-06-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 844532        | CUSIP: 31407YHH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8991 | PA      | $8797.51      | 0.01%             | 2035-11-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 762519        | CUSIP: 31404ADY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7865 | PA      | $7842.51      | 0.01%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNA 2017-M14 A2  | CUSIP: 3136AY2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2936442 | PA      | $2746885.43   | 3.09%             | 2027-11-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2014-H15 FA  | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    898136 | PA      | $888853.56    | 1.00%             | 2064-07-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0361        | CUSIP: 3138EGMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78532 | PA      | $77814.05     | 0.09%             | 2035-07-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2009-50 PT   | CUSIP: 31396QMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     89498 | PA      | $88542.28     | 0.10%             | 2037-05-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AL0920        | CUSIP: 3138EHAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43861 | PA      | $44869.31     | 0.05%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H13 FL  | CUSIP: 38376RCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      9099 | PA      | $8658.77      | 0.01%             | 2063-05-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 777432        | CUSIP: 36176VPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6191 | PA      | $6008.77      | 0.01%             | 2062-10-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AC8301        | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26974 | PA      | $26329.71     | 0.03%             | 2039-12-01      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 751408        | CUSIP: 36230KR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15168 | PA      | $14974.36     | 0.02%             | 2061-06-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2000-45 FD   | CUSIP: 31358SZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    133184 | PA      | $132221.75    | 0.15%             | 2030-12-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 766542        | CUSIP: 36176HLX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2777 | PA      | $2497.19      | 0.00%             | 2062-11-20      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 898416        | CUSIP: 3620E05S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60902 | PA      | $61772.88     | 0.07%             | 2063-02-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN AC2472        | CUSIP: 31417LXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43927 | PA      | $43910.88     | 0.05%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 773431        | CUSIP: 36176RA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27406 | PA      | $26673.89     | 0.03%             | 2061-12-20      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 619105        | CUSIP: 31388YYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78421 | PA      | $77402.15     | 0.09%             | 2032-05-01      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 813637        | CUSIP: 31406L4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192046 | PA      | $191383.37    | 0.22%             | 2036-01-01      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1B2721        | CUSIP: 3128JM4F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68167 | PA      | $67546.38     | 0.08%             | 2035-01-01      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FN 766907        | CUSIP: 31404FAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35422 | PA      | $35730.99     | 0.04%             | 2034-03-01      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q1104        | CUSIP: 3128S5GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83744 | PA      | $83310.59     | 0.09%             | 2037-04-01      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GNR 2015-H27 FA  | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    915900 | PA      | $903071.61    | 1.02%             | 2065-09-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | G2 894704        | CUSIP: 3620E0QF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38349 | PA      | $38297.46     | 0.04%             | 2061-10-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FHR 3104 DH      | CUSIP: 31396GJP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     17194 | PA      | $16497.60     | 0.02%             | 2026-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                  | FNR 2011-39 ZA   | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    106507 | PA      | $108456.60    | 0.12%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                 | FH 1Q1097        | CUSIP: 3128S5GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16900 | PA      | $16559.99     | 0.02%             | 2037-04-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** Northern Lights Fund Trust

**Signature:** James Colantino

**Name of Signer:** James Colantino

**Title:** Treasurer