# EDGAR Filing Document

**Accession Number:** 0001066602
**File Stem:** 0000940400-26-022779
**Filing Date:** 2026-6
**Character Count:** 348450
**Document Hash:** ee0c2ba05a62ca9edfe341d7b65ebb6c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022779.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022779

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001066602

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08895
- **FILM NUMBER:** 261048431

**BUSINESS ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258
- **BUSINESS PHONE:** 800-992-0180

**MAIL ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING FUNDS TRUST
- **DATE OF NAME CHANGE:** 20020205

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PILGRIM FUNDS TRUST
- **DATE OF NAME CHANGE:** 20010312

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING FUNDS TRUST
- **DATE OF NAME CHANGE:** 19980721

## Series and Classes Contracts Data

### Voya GNMA Income Fund (Series ID: S000008394)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000023002 | Class A      | LEXNX           |
| C000023004 | Class C      | LEGNX           |
| C000023005 | Class I      | LEINX           |
| C000057275 | Class W      | IGMWX           |
| C000122009 | Class R6     | VGMBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Funds Trust

- **b. Investment Company Act file number:** 811-08895

- **c. CIK number of Registrant:** 0001066602

- **d. LEI of Registrant:** 5493002OZLWDCTJEFB81

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA GNMA INCOME FUND

- **b. EDGAR series identifier (if any):** S000008394

- **c. LEI of Series:** 8HD244MD4VNYFVS1BV63

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $1741145396.12

**Total Liabilities:** $672409655.03

**Net Assets:** $1068735741.09

**Stand-by Commitments:** $645038966.66

**Cash Not Reported:** $3231776.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 97.21972000 | **1-Year:** 60563.65105000 | **5-Year:** 479028.80894000 | **10-Year:** 171736.32719000 | **30-Year:** 18775.76572000

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

- **3-Month:** 0.00000000 | **1-Year:** 2210.69750000 | **5-Year:** 5569.71456000 | **10-Year:** 1315.03228000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023002 | 0.60%                | 1.47%                | -1.65%               |
| Class ID C000057275 | 0.49%                | 1.49%                | -1.49%               |
| Class ID C000023005 | 0.62%                | 1.49%                | -1.49%               |
| Class ID C000122009 | 0.49%                | 1.49%                | -1.49%               |
| Class ID C000023004 | 0.54%                | 1.42%                | -1.72%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1165296.39              | $1518290.95                                |
| Month 2  | $331251.40               | $14344159.58                               |
| Month 3  | $-1790440.45             | $-22004279.29                              |

**Designated Index Information**

- **Index Name:** BBG Fixed-Rate GNMA MBS Index

- **Index Identifier:** LGNMTRUU

### 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 DC0119                                              | CUSIP: 3618HEDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2002307 | PA      | $2054686.13   | 0.19%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 897356                                              | CUSIP: 31410T5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53489 | PA      | $54454.07     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $14618671.96  | 1.37%             | 2056-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-40 MY                                         | CUSIP: 3136A5CH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2500000 | PA      | $2333526.25   | 0.22%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-27 FG                                         | CUSIP: 38385DRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2434781 | PA      | $2448001.26   | 0.23%             | 2055-02-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 792719                                              | CUSIP: 36177MAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146702 | PA      | $136134.17    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-169 AW                                        | CUSIP: 38377RL60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    321658 | PA      | $321691.03    | 0.03%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3888 ZG                                            | CUSIP: 3137ADHB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    764150 | PA      | $736185.07    | 0.07%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2004-W2 3A                                         | CUSIP: 31393XGS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    718182 | PA      | $725348.67    | 0.07%             | 2044-02-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2019-6 GZ                                          | CUSIP: 3136B3Q60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2899325 | PA      | $2566526.91   | 0.24%             | 2059-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2016-4 DS                                          | CUSIP: 3136AQ3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3260829 | PA      | $342884.34    | 0.03%             | 2046-02-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-161 WS                                        | CUSIP: 38379G4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    573169 | PA      | $39198.59     | 0.00%             | 2044-11-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-107 QZ                                        | CUSIP: 38380TB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4145259 | PA      | $3496792.81   | 0.33%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732034                                              | CUSIP: 3620AKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54895 | PA      | $55595.33     | 0.01%             | 2029-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H08 FC                                        | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    288612 | PA      | $288584.88    | 0.03%             | 2065-03-20      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AO9480                                              | CUSIP: 3617AAQ98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83279 | PA      | $74601.57     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628356                                              | CUSIP: 36291HBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55143 | PA      | $55248.84     | 0.01%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614856                                              | CUSIP: 36290RBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21704 | PA      | $22000.11     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4215                                                | CUSIP: 36202EVG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9774 | PA      | $9855.30      | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30054                                              | CUSIP: 31286DBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28922 | PA      | $29746.21     | 0.00%             | 2037-01-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H14 FC                                        | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    255532 | PA      | $255472.67    | 0.02%             | 2063-06-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H11 FE                                        | CUSIP: 38375UWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    203844 | PA      | $204727.15    | 0.02%             | 2066-04-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AR0574                                              | CUSIP: 36192ST75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41929 | PA      | $37631.27     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-H06 HB                                        | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     64254 | PA      | $64434.92     | 0.01%             | 2064-03-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 634045                                              | CUSIP: 36291PL20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68684 | PA      | $69064.66     | 0.01%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-77 SK                                         | CUSIP: 38382QR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12993691 | PA      | $215388.62    | 0.02%             | 2051-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 744829                                              | CUSIP: 3620C0PN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2104601 | PA      | $1943130.85   | 0.18%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-151 PY                                        | CUSIP: 38378AAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    945000 | PA      | $825412.14    | 0.08%             | 2041-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 761295                                              | CUSIP: 36176BRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213891 | PA      | $199060.07    | 0.02%             | 2041-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 947105                                              | CUSIP: 31413JU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160772 | PA      | $162220.08    | 0.02%             | 2047-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622842                                              | CUSIP: 36291A5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160397 | PA      | $161367.54    | 0.02%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae (Ze)                                                        | GNR 2019-71 EN                                         | CUSIP: 38381WDH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    109899 | PA      | $89789.80     | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-98 MZ                                         | CUSIP: 38374XE76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1928242 | PA      | $1961008.28   | 0.18%             | 2039-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 742729                                              | CUSIP: 3620AXEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609560 | PA      | $620282.69    | 0.06%             | 2036-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4274 US                                            | CUSIP: 3137B5W90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2183153 | PA      | $2002064.64   | 0.19%             | 2035-10-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H06 FA                                        | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    249326 | PA      | $249300.97    | 0.02%             | 2065-02-20      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H29 FA                                        | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     52300 | PA      | $52320.00     | 0.00%             | 2062-10-20      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5818                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185243 | PA      | $182257.24    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2010-87 PL                                         | CUSIP: 31398TYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    680795 | PA      | $671823.52    | 0.06%             | 2040-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H18 FA                                        | CUSIP: 38375B7B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    224506 | PA      | $224548.56    | 0.02%             | 2063-06-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4136 ZG                                            | CUSIP: 3137AWPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3723185 | PA      | $3414732.72   | 0.32%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-89 Z                                          | CUSIP: 38377WVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1435748 | PA      | $1354136.25   | 0.13%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FSPC T-48 2A                                           | CUSIP: 31392UZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    616838 | PA      | $590631.16    | 0.06%             | 2033-07-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-75 GS                                         | CUSIP: 31394FAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    125425 | PA      | $132542.14    | 0.01%             | 2035-08-25      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2006-17 TW                                         | CUSIP: 38374MU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1213314 | PA      | $1219478.68   | 0.11%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-117 ZQ                                        | CUSIP: 38377JT86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4458694 | PA      | $4365356.52   | 0.41%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2020-H01 FT                                        | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    110363 | PA      | $110501.39    | 0.01%             | 2070-01-20      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-163 DZ                                        | CUSIP: 38381AZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    391975 | PA      | $355618.40    | 0.03%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 5116                                                | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314057 | PA      | $319625.42    | 0.03%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-59 NQ                                         | CUSIP: 31394ETR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     39167 | PA      | $39801.97     | 0.00%             | 2035-05-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7533                                              | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10575213 | PA      | $8748601.08   | 0.82%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30317                                              | CUSIP: 31286DK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110090 | PA      | $112398.35    | 0.01%             | 2037-10-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 625704                                              | CUSIP: 36291EDH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54083 | PA      | $54607.41     | 0.01%             | 2033-12-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3158 NE                                            | CUSIP: 31396NX27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    176640 | PA      | $181436.25    | 0.02%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2006-115 ES                                        | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     34279 | PA      | $38572.68     | 0.00%             | 2036-12-25      | Floating      | 11.45%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 723362                                              | CUSIP: 3620A9TT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302821 | PA      | $306732.57    | 0.03%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-78 TZ                                         | CUSIP: 38384NL60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2985761 | PA      | $3028966.34   | 0.28%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5652                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2192547 | PA      | $2158542.96   | 0.20%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-58 SB                                         | CUSIP: 38382RBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6694268 | PA      | $822520.34    | 0.08%             | 2051-04-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4284                                                | CUSIP: 36202EXM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12803 | PA      | $12890.99     | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-2 QZ                                          | CUSIP: 38385BX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1372175 | PA      | $1360769.97   | 0.13%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614783                                              | CUSIP: 36290Q6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20707 | PA      | $20331.67     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7312                                              | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14207098 | PA      | $12240424.85  | 1.15%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2025-4 PZ                                          | CUSIP: 3136BUS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   7839100 | PA      | $7830826.92   | 0.73%             | 2054-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AG2675                                              | CUSIP: 36181V6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521275 | PA      | $492480.67    | 0.05%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2008-45 IO                                         | CUSIP: 38373MV80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    208629 | PA      | $2155.22      | 0.00%             | 2048-02-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-25 Z                                          | CUSIP: 38377QTH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3376453 | PA      | $3312156.17   | 0.31%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2004-W3 A8                                         | CUSIP: 31393XVK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1676794 | PA      | $1676900.72   | 0.16%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775000                                              | CUSIP: 36176SX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218304 | PA      | $203332.27    | 0.02%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 946768                                              | CUSIP: 31413JJM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67383 | PA      | $68741.91     | 0.01%             | 2037-08-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3507 IA                                            | CUSIP: 31397YXN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     68539 | PA      | $6796.23      | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA2893                                              | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231987 | PA      | $222706.98    | 0.02%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-53 SW                                         | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     25491 | PA      | $27338.54     | 0.00%             | 2037-09-20      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA8100                                              | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7174836 | PA      | $6788130.60   | 0.64%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 637671                                              | CUSIP: 36291TMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40976 | PA      | $42126.04     | 0.00%             | 2034-09-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-125 AZ                                        | CUSIP: 3136AHLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    876133 | PA      | $785801.88    | 0.07%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 946773                                              | CUSIP: 31413JJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158256 | PA      | $159675.44    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1405333.05  | -0.13%            | 2056-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  67793000 | PA      | $68860842.12  | 6.44%             | 2056-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNMA-30YR                                              | CUSIP: 01F050643<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7133000 | PA      | $7035713.16   | 0.66%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-H26 LF                                        | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      6461 | PA      | $6445.13      | 0.00%             | 2058-08-20      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2013-62 AI                                         | CUSIP: 3136AEMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    993416 | PA      | $68106.32     | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | SLST 2019-2 A1C                                        | CUSIP: 35564CCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2422933 | PA      | $2322962.10   | 0.22%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust 2011-2                                           | VENDE 2011-2 IO                                        | CUSIP: 92262BAG0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |  16829779 | PA      | $270036.32    | 0.03%             | 2041-10-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA2962                                              | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    959338 | PA      | $920564.74    | 0.09%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FHMS K-1519 X1                                         | CUSIP: 3137F8TU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  33531270 | PA      | $1407921.02   | 0.13%             | 2035-12-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732038                                              | CUSIP: 3620AKHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6359 | PA      | $6390.14      | 0.00%             | 2028-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 698473                                              | CUSIP: 36296Q6J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59899 | PA      | $61890.47     | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2011-99 CZ                                         | CUSIP: 3136A1KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3803810 | PA      | $3767212.00   | 0.35%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae (Ze)                                                        | GNR 2025-209 BF                                        | CUSIP: 38385J3Z4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   9459332 | PA      | $9478003.29   | 0.89%             | 2055-12-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2018-2 HA                                         | CUSIP: 35563PFB0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1038699 | PA      | $987721.75    | 0.09%             | 2057-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-143 B                                         | CUSIP: 38379FCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15027206 | PA      | $13750521.80  | 1.29%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2020-89 KI                                         | CUSIP: 3136BCF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  21099092 | PA      | $3985940.16   | 0.37%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-47 IO                                         | CUSIP: 38376GJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7044943 | PA      | $17371.07     | 0.00%             | 2051-01-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA6818                                              | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3954472 | PA      | $3271433.10   | 0.31%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AI5418                                              | CUSIP: 3138AKAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21968 | PA      | $21763.19     | 0.00%             | 2041-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H03 FA                                        | CUSIP: 38375BJS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    467220 | PA      | $467315.78    | 0.04%             | 2061-01-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN AA0502                                              | CUSIP: 36177WRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23231 | PA      | $21679.86     | 0.00%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-77 SA                                         | CUSIP: 38376CRH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    322624 | PA      | $24432.96     | 0.00%             | 2039-09-16      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622935                                              | CUSIP: 36291BBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28016 | PA      | $28097.19     | 0.00%             | 2033-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-142 BI                                        | CUSIP: 3136A96R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     67787 | PA      | $130.85       | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 503330                                              | CUSIP: 31383HEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8284 | PA      | $8276.56      | 0.00%             | 2029-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-52 Z                                          | CUSIP: 38373MJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     38362 | PA      | $38266.11     | 0.00%             | 2048-01-16      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 605662                                              | CUSIP: 36200NZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       133 | PA      | $132.64       | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-69 B                                          | CUSIP: 38379WM25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3378134 | PA      | $3031980.32   | 0.28%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H09 FB                                        | CUSIP: 38376RTJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    417023 | PA      | $418710.82    | 0.04%             | 2066-04-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 701600                                              | CUSIP: 36296UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28805 | PA      | $29258.61     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AL9222                                              | CUSIP: 3138ERG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275833 | PA      | $265008.33    | 0.02%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNGT 2003-T4 2A6                                       | CUSIP: 31393AV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     21010 | PA      | $20851.24     | 0.00%             | 2033-07-26      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-133 AL                                        | CUSIP: 38384EPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3627109 | PA      | $3836924.20   | 0.36%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-162 ZE                                        | CUSIP: 38377RQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    605033 | PA      | $585772.78    | 0.05%             | 2040-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-H06 FA                                        | CUSIP: 38375UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    157157 | PA      | $157336.67    | 0.01%             | 2064-03-20      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 511383                                              | CUSIP: 36211FCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11235 | PA      | $11230.02     | 0.00%             | 2029-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-93 NS                                         | CUSIP: 38375GFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    425602 | PA      | $34108.03     | 0.00%             | 2042-07-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 701762                                              | CUSIP: 36296UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60420 | PA      | $60595.75     | 0.01%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30388                                              | CUSIP: 31286DND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2945 | PA      | $2943.47      | 0.00%             | 2037-08-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                 | FHR 5369 B                                             | CUSIP: 3137HBD43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4643779 | PA      | $4758720.42   | 0.45%             | 2054-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4216                                                | CUSIP: 36202EVH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45583 | PA      | $45884.11     | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4480 ZX                                            | CUSIP: 3137BKBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4505088 | PA      | $4342735.38   | 0.41%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 5175                                                | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428443 | PA      | $424864.08    | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2010-80 PZ                                         | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    355289 | PA      | $358734.99    | 0.03%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2008-3 SA                                          | CUSIP: 38375PAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    244507 | PA      | $23553.17     | 0.00%             | 2038-01-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-H09 Z                                         | CUSIP: 38380Q4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    115574 | PA      | $108425.14    | 0.01%             | 2066-10-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-20 LI                                         | CUSIP: 38378F5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1285535 | PA      | $112906.23    | 0.01%             | 2042-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 953834                                              | CUSIP: 31413SEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250911 | PA      | $253493.74    | 0.02%             | 2047-10-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG B32007                                              | CUSIP: 312979GQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72445 | PA      | $74365.80     | 0.01%             | 2037-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | SLST 2019-1 A2                                         | CUSIP: 35564CBC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   7955000 | PA      | $7768855.39   | 0.73%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 673915                                              | CUSIP: 36295LVG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55031 | PA      | $54505.36     | 0.01%             | 2038-08-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2022-136 PB                                        | CUSIP: 38383UPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    400000 | PA      | $335717.52    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 765214                                              | CUSIP: 36176F3X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2064 | PA      | $2061.72      | 0.00%             | 2062-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 792512                                              | CUSIP: 36177LYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109985 | PA      | $102241.11    | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 784793                                              | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15913409 | PA      | $14758406.29  | 1.38%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-H07 FG                                        | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    303311 | PA      | $303195.36    | 0.03%             | 2067-02-20      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-9 IO                                          | CUSIP: 38379U4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    319050 | PA      | $8966.61      | 0.00%             | 2057-01-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 645283                                              | CUSIP: 31390F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22045 | PA      | $22388.17     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 468562                                              | CUSIP: 36209DQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11470 | PA      | $11667.41     | 0.00%             | 2028-05-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7135                                              | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15418755 | PA      | $12755538.75  | 1.19%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2013-55 VZ                                         | CUSIP: 3136AERJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1020265 | PA      | $928319.63    | 0.09%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 946373                                              | CUSIP: 31413H2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167199 | PA      | $169174.84    | 0.02%             | 2037-08-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614861                                              | CUSIP: 36290RB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79022 | PA      | $79409.67     | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7649                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21588606 | PA      | $18599017.65  | 1.74%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA4586                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376854 | PA      | $354231.58    | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-121 ZQ                                        | CUSIP: 38376PAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    686794 | PA      | $703154.81    | 0.07%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4249 CS                                            | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1871677 | PA      | $1419246.55   | 0.13%             | 2043-09-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2013-13 PI                                         | CUSIP: 3136ACB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    255934 | PA      | $13327.85     | 0.00%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS K-1517 X1                                         | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  14603954 | PA      | $1277655.36   | 0.12%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3960 SG                                            | CUSIP: 3137AJH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2935531 | PA      | $259543.51    | 0.02%             | 2041-11-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 674814                                              | CUSIP: 36295MVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59078 | PA      | $61434.54     | 0.01%             | 2037-08-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4463                                                | CUSIP: 36202E5Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67792 | PA      | $67819.59     | 0.01%             | 2039-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628191                                              | CUSIP: 36291G2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116719 | PA      | $117183.19    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG G08776                                              | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288729 | PA      | $284634.27    | 0.03%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4259                                                | CUSIP: 36202EWU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1254 | PA      | $1255.51      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 611668                                              | CUSIP: 36202WQV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62481 | PA      | $62826.53     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AH1405                                              | CUSIP: 36182HR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133784 | PA      | $133088.50    | 0.01%             | 2065-02-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-65 ZG                                         | CUSIP: 38374HA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    375899 | PA      | $379610.83    | 0.04%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4795                                                | CUSIP: 36202FKG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511000 | PA      | $482212.26    | 0.05%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 625700                                              | CUSIP: 36291EDD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86338 | PA      | $86596.54     | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3785                                                | CUSIP: 36202EF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139184 | PA      | $141386.55    | 0.01%             | 2035-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-56 HM                                         | CUSIP: 38376UMU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    970925 | PA      | $896388.84    | 0.08%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 902319                                              | CUSIP: 31411APC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6838 | PA      | $6932.86      | 0.00%             | 2036-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4238                                                | CUSIP: 36202EV71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6355 | PA      | $6388.37      | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                 | FHR 5361 BY                                            | CUSIP: 3137HB4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8800000 | PA      | $9436787.36   | 0.88%             | 2053-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FSPC T-54 4A                                           | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    302927 | PA      | $293468.69    | 0.03%             | 2043-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG G67709                                              | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2227171 | PA      | $2087931.91   | 0.20%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-148 KH                                        | CUSIP: 3136ABNF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1144263 | PA      | $1103818.70   | 0.10%             | 2042-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30056                                              | CUSIP: 31286DBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28473 | PA      | $29316.35     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 954001                                              | CUSIP: 31413SKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205089 | PA      | $205682.86    | 0.02%             | 2037-11-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 792717                                              | CUSIP: 36177MAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35934 | PA      | $33311.89     | 0.00%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                | FHLBDN 0 04/10/26                                      | CUSIP: 313385VJ2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   2350000 | PA      | $2347663.07   | 0.22%             | 2026-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 630346                                              | CUSIP: 36291KHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44042 | PA      | $44463.18     | 0.00%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-125 BZ                                        | CUSIP: 38377JXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1707777 | PA      | $1704654.64   | 0.16%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H22 FB                                        | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    119572 | PA      | $119928.85    | 0.01%             | 2063-08-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 625745                                              | CUSIP: 36291EES6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33181 | PA      | $33245.46     | 0.00%             | 2034-01-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                 | FHR 4818 GZ                                            | CUSIP: 3137FGWE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1839170 | PA      | $1741008.83   | 0.16%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG Q01462                                              | CUSIP: 3132GETT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135323 | PA      | $136467.52    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614776                                              | CUSIP: 36290Q6M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10677 | PA      | $10829.32     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-61 ZQ                                         | CUSIP: 38376FDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10791101 | PA      | $10962361.88  | 1.03%             | 2039-08-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 954088                                              | CUSIP: 31413SND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64272 | PA      | $63704.75     | 0.01%             | 2037-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 633810                                              | CUSIP: 36291PDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28621 | PA      | $28674.40     | 0.00%             | 2034-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2006-61 FA                                         | CUSIP: 38374NU21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     42140 | PA      | $42139.51     | 0.00%             | 2036-11-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-53 ZB                                         | CUSIP: 38374VVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1131117 | PA      | $1174968.80   | 0.11%             | 2039-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-43 PZ                                         | CUSIP: 31394DVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    781875 | PA      | $818912.95    | 0.08%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 799983                                              | CUSIP: 36177VCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33625 | PA      | $31170.81     | 0.00%             | 2042-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732539                                              | CUSIP: 3620AKZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520751 | PA      | $525191.66    | 0.05%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AJ5131                                              | CUSIP: 3138AWVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59442 | PA      | $57974.89     | 0.01%             | 2041-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 720945                                              | CUSIP: 3620A65E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328037 | PA      | $332087.97    | 0.03%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 608040                                              | CUSIP: 36202SPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56609 | PA      | $56904.77     | 0.01%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-53 Z                                          | CUSIP: 38380M4J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3694528 | PA      | $2646446.43   | 0.25%             | 2061-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-137 EI                                        | CUSIP: 3136AAJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    282099 | PA      | $3456.98      | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2009-12 LK                                         | CUSIP: 31397NKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     79440 | PA      | $89746.51     | 0.01%             | 2039-03-25      | Variable      | 13.77%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4631 CZ                                            | CUSIP: 3137BSZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   3189279 | PA      | $2958867.55   | 0.28%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628363                                              | CUSIP: 36291HB86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31396 | PA      | $31214.73     | 0.00%             | 2034-03-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-29 AI                                         | CUSIP: 38381TKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    629282 | PA      | $144451.74    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H30 GA                                        | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    292858 | PA      | $290731.59    | 0.03%             | 2062-12-20      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3429                                                | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40764 | PA      | $41635.26     | 0.00%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-79 Z                                          | CUSIP: 38381DBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5440982 | PA      | $2030664.30   | 0.19%             | 2063-08-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4159 LZ                                            | CUSIP: 3137AXXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8403810 | PA      | $7916886.74   | 0.74%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 2781                                                | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5390 | PA      | $5601.29      | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4611                                                | CUSIP: 36202FDQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20833 | PA      | $20422.76     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-97 PC                                         | CUSIP: 3136A72S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3457000 | PA      | $2958368.54   | 0.28%             | 2042-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732031                                              | CUSIP: 3620AKHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34517 | PA      | $34630.37     | 0.00%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2015-26 UZ                                         | CUSIP: 3136ANQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1468756 | PA      | $1230806.48   | 0.12%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-H11 FA                                        | CUSIP: 38375BDG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    124193 | PA      | $125058.68    | 0.01%             | 2060-06-20      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-H21 FA                                        | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    345858 | PA      | $346359.15    | 0.03%             | 2064-10-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-186 VI                                        | CUSIP: 38378PUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    336465 | PA      | $43757.96     | 0.00%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614779                                              | CUSIP: 36290Q6Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6854 | PA      | $6828.52      | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MB0144                                              | CUSIP: 3618N5ES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9677415 | PA      | $9077224.20   | 0.85%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-122 CZ                                        | CUSIP: 38380GHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1829986 | PA      | $1442465.04   | 0.13%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 751185                                              | CUSIP: 36230KJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54023 | PA      | $51901.35     | 0.00%             | 2040-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 947101                                              | CUSIP: 31413JU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49808 | PA      | $50812.93     | 0.00%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-23 Z                                          | CUSIP: 38374GCG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    187815 | PA      | $187028.83    | 0.02%             | 2044-03-16      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-156 YX                                        | CUSIP: 38383BPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6993849 | PA      | $6986434.57   | 0.65%             | 2055-09-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H13 FT                                        | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     13716 | PA      | $13725.14     | 0.00%             | 2066-05-20      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 784756                                              | CUSIP: 3622AAE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5646096 | PA      | $5248054.21   | 0.49%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA4656                                              | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3532468 | PA      | $3421800.26   | 0.32%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H07 FA                                        | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     92206 | PA      | $92227.22     | 0.01%             | 2061-02-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 807535                                              | CUSIP: 31406EEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165891 | PA      | $164587.16    | 0.02%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A84634                                              | CUSIP: 312931EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86835 | PA      | $86361.37     | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 10-Year T-Note Futures, Jun-2026,ETH                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -459 | NC      | $-151465.76   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                               | G2 611791                                              | CUSIP: 36202WUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55860 | PA      | $56168.36     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 736561                                              | CUSIP: 3620AQJE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    762863 | PA      | $752021.68    | 0.07%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 701601                                              | CUSIP: 36296UNS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40203 | PA      | $41393.28     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 628857                                              | CUSIP: 36291HTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18429 | PA      | $18389.84     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 963375                                              | CUSIP: 31414DXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99545 | PA      | $99499.37     | 0.01%             | 2038-04-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 947429                                              | CUSIP: 31413KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72875 | PA      | $72816.32     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AE8377                                              | CUSIP: 36181CJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225100 | PA      | $221519.71    | 0.02%             | 2034-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNMA-30YR                                              | CUSIP: 01F050650<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -6513000 | PA      | $-6415773.68  | -0.60%            | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-135 FD                                        | CUSIP: 38381QEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9744159 | PA      | $9797692.14   | 0.92%             | 2055-08-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 603065                                              | CUSIP: 36200J6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52041 | PA      | $52494.99     | 0.00%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-111 ZL                                        | CUSIP: 38384CJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7283372 | PA      | $7324786.82   | 0.69%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 BD8924                                              | CUSIP: 3617BQ4H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4095 | PA      | $4059.91      | 0.00%             | 2067-10-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-141 PS                                        | CUSIP: 38377YN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    994096 | PA      | $47765.62     | 0.00%             | 2041-06-16      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-123 CA                                        | CUSIP: 38382AJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8614964 | PA      | $7755633.82   | 0.73%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA3455                                              | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49696 | PA      | $47643.28     | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-88 ZC                                         | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    250013 | PA      | $253694.64    | 0.02%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4040 UZ                                            | CUSIP: 3137AQA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1690002 | PA      | $1658229.67   | 0.16%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNW 2002-W2 AF6                                        | CUSIP: 31392CEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      1056 | PA      | $1065.48      | 0.00%             | 2032-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H02 FH                                        | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    363531 | PA      | $365740.12    | 0.03%             | 2066-01-20      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNGT 2001-T9 A1                                        | CUSIP: 313921FG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    364805 | PA      | $348002.84    | 0.03%             | 2031-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 608041                                              | CUSIP: 36202SP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27131 | PA      | $27584.30     | 0.00%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 544115                                              | CUSIP: 36212UN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12715 | PA      | $12699.29     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-34 Z                                          | CUSIP: 38374TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    915255 | PA      | $919522.18    | 0.09%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2018-25 AL                                         | CUSIP: 3136B1VB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    443764 | PA      | $402365.12    | 0.04%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7051                                              | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18487321 | PA      | $15294084.47  | 1.43%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-110 ZC                                        | CUSIP: 38376EUN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1041309 | PA      | $1013914.66   | 0.09%             | 2039-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30000000 | PA      | $26787180.30  | 2.51%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2004-68 LC                                         | CUSIP: 31394AZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     45483 | PA      | $45770.12     | 0.00%             | 2029-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 CE2003                                              | CUSIP: 3617VQGL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19883849 | PA      | $17486205.34  | 1.64%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 747362                                              | CUSIP: 3620C3JF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44454 | PA      | $43594.70     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BM6364                                              | CUSIP: 3140JBCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505194 | PA      | $498734.41    | 0.05%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS KL06 XFX                                          | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  30725264 | PA      | $1003373.44   | 0.09%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H11 FA                                        | CUSIP: 38375BSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     71008 | PA      | $71224.55     | 0.01%             | 2062-02-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-81 Z                                          | CUSIP: 38374JQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    919419 | PA      | $917016.57    | 0.09%             | 2034-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H11 GA                                        | CUSIP: 38375BSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     53637 | PA      | $53711.35     | 0.01%             | 2062-05-20      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-100 FD                                        | CUSIP: 38381XL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2269279 | PA      | $2231199.58   | 0.21%             | 2049-08-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-H10 FM                                        | CUSIP: 38380LVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    131880 | PA      | $131720.84    | 0.01%             | 2069-05-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 500618                                              | CUSIP: 36210SDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38011 | PA      | $38319.43     | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 BA3307                                              | CUSIP: 3617AFU84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    962324 | PA      | $902625.87    | 0.08%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-117 NG                                        | CUSIP: 38380GHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1000000 | PA      | $819191.20    | 0.08%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-48 SA                                         | CUSIP: 38375CTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1693998 | PA      | $186552.16    | 0.02%             | 2042-04-16      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BV3057                                              | CUSIP: 3140MGMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1216968 | PA      | $1130508.91   | 0.11%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-H17 FG                                        | CUSIP: 38375UL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    357781 | PA      | $357848.18    | 0.03%             | 2067-08-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 942924                                              | CUSIP: 31413EAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150222 | PA      | $151551.21    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-H04 FB                                        | CUSIP: 38375UDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    208723 | PA      | $209109.95    | 0.02%             | 2064-02-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AO9336                                              | CUSIP: 3617AALR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227796 | PA      | $203640.77    | 0.02%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 741957                                              | CUSIP: 3620AWJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225015 | PA      | $226535.43    | 0.02%             | 2030-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-19 Z                                          | CUSIP: 38380MN98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2846655 | PA      | $2239954.45   | 0.21%             | 2060-11-16      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7828                                              | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1202580 | PA      | $1075135.07   | 0.10%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7938                                              | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3392619 | PA      | $3137507.96   | 0.29%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 799852                                              | CUSIP: 36177U5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120802 | PA      | $110992.95    | 0.01%             | 2042-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3864                                                | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18593 | PA      | $19196.70     | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 608099                                              | CUSIP: 36202SRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49601 | PA      | $50398.84     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-66 QS                                         | CUSIP: 38376FSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    331531 | PA      | $11250.16     | 0.00%             | 2039-07-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30194                                              | CUSIP: 31286DGB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233140 | PA      | $240618.24    | 0.02%             | 2037-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-27 EZ                                         | CUSIP: 3136A4CM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2549759 | PA      | $2458574.95   | 0.23%             | 2042-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-56 JZ                                         | CUSIP: 38376ULK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5519685 | PA      | $4736684.89   | 0.44%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNMA-30YR                                              | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3510530.32   | 0.33%             | 2056-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 608101                                              | CUSIP: 36202SRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31606 | PA      | $31498.50     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 688120                                              | CUSIP: 36296DPD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86611 | PA      | $86880.69     | 0.01%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AE8522                                              | CUSIP: 36181CPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261989 | PA      | $257697.96    | 0.02%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628358                                              | CUSIP: 36291HB37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93053 | PA      | $93520.39     | 0.01%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 711075                                              | CUSIP: 36297F6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166637 | PA      | $165162.03    | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA2753                                              | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12923608 | PA      | $11749159.89  | 1.10%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2025-1 FE                                          | CUSIP: 3136BUB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  12208002 | PA      | $12320224.06  | 1.15%             | 2055-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN AA0501                                              | CUSIP: 36177WRW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39104 | PA      | $35654.00     | 0.00%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-H19 FA                                        | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    126257 | PA      | $126190.37    | 0.01%             | 2067-08-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 953833                                              | CUSIP: 31413SEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99498 | PA      | $100718.46    | 0.01%             | 2047-10-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -118 | NC      | $240365.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-98 SA                                         | CUSIP: 38374JN51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    399303 | PA      | $32479.19     | 0.00%             | 2034-11-20      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA3875                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254928 | PA      | $244213.41    | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 698451                                              | CUSIP: 36296Q5L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33303 | PA      | $33954.40     | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622901                                              | CUSIP: 36291BAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95049 | PA      | $95327.28     | 0.01%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2003-34 LN                                         | CUSIP: 31393CGD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1152076 | PA      | $1162745.96   | 0.11%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-25 LI                                         | CUSIP: 38382NTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1265162 | PA      | $176430.39    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H26 FG                                        | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    246664 | PA      | $246786.30    | 0.02%             | 2065-10-20      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H13 FD                                        | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    185501 | PA      | $185560.44    | 0.02%             | 2066-05-20      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2011-4 CS                                          | CUSIP: 31397QLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    844422 | PA      | $851070.39    | 0.08%             | 2040-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 589692                                              | CUSIP: 36201QC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114427 | PA      | $115849.66    | 0.01%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-H20 AF                                        | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    551703 | PA      | $550478.05    | 0.05%             | 2060-10-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-88 AI                                         | CUSIP: 38378TE48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    436796 | PA      | $31526.30     | 0.00%             | 2043-06-20      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 830744                                              | CUSIP: 31407G5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54925 | PA      | $54411.93     | 0.01%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3757                                                | CUSIP: 36202EE62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56521 | PA      | $55099.76     | 0.01%             | 2035-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-169 Z                                         | CUSIP: 38380MXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2147261 | PA      | $1415276.95   | 0.13%             | 2061-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-59 QC                                         | CUSIP: 38377VEM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    928464 | PA      | $916440.08    | 0.09%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-189 AY                                        | CUSIP: 38384GMM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1250802 | PA      | $1276163.26   | 0.12%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2013-18 NA                                         | CUSIP: 3136ACYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     41166 | PA      | $36875.53     | 0.00%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG U30869                                              | CUSIP: 31335Y6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30390 | PA      | $30953.53     | 0.00%             | 2038-01-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-1 Z                                           | CUSIP: 38381BXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1104211 | PA      | $1031805.50   | 0.10%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 636234                                              | CUSIP: 36291RY71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6020 | PA      | $6094.25      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4176 IA                                            | CUSIP: 3137B0PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1304350 | PA      | $20185.34     | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2010-39 FN                                         | CUSIP: 31398P4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    575015 | PA      | $577993.63    | 0.05%             | 2040-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620887                                              | CUSIP: 36290XXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13717 | PA      | $13749.32     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-32 YZ                                         | CUSIP: 38374UGL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    746422 | PA      | $753081.36    | 0.07%             | 2039-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2016-103 PB                                        | CUSIP: 3136AU2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2630000 | PA      | $2336190.87   | 0.22%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2007-60 ZB                                         | CUSIP: 31396WSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    289145 | PA      | $289676.34    | 0.03%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 631585                                              | CUSIP: 36291LUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52803 | PA      | $54050.71     | 0.01%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-12 MW                                         | CUSIP: 38385BZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1000000 | PA      | $1001249.50   | 0.09%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-146 EI                                        | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1167504 | PA      | $195558.60    | 0.02%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622934                                              | CUSIP: 36291BBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118385 | PA      | $118944.90    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 617446                                              | CUSIP: 36290T5F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69110 | PA      | $72882.74     | 0.01%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4239                                                | CUSIP: 36202EV89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4126 | PA      | $4181.06      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622771                                              | CUSIP: 36291A2C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187536 | PA      | $190749.38    | 0.02%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-120 IM                                        | CUSIP: 38380ATE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7703539 | PA      | $843997.44    | 0.08%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 714176                                              | CUSIP: 36297KMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18257 | PA      | $18995.83     | 0.00%             | 2039-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-60 YZ                                         | CUSIP: 38375LTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    426853 | PA      | $425882.25    | 0.04%             | 2037-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775657                                              | CUSIP: 36176TQJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75646 | PA      | $72286.62     | 0.01%             | 2041-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 671416                                              | CUSIP: 36295H3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91788 | PA      | $95566.58     | 0.01%             | 2037-07-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-55 BI                                         | CUSIP: 38374VME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    109714 | PA      | $3445.95      | 0.00%             | 2037-06-16      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2005-91 UP                                         | CUSIP: 38374MSG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |      2418 | PA      | $2438.43      | 0.00%             | 2031-09-16      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 612433                                              | CUSIP: 36202XLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109924 | PA      | $109075.04    | 0.01%             | 2034-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2002-W12 AF6                                       | CUSIP: 31392GSP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      1188 | PA      | $1181.52      | 0.00%             | 2033-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-78 IC                                         | CUSIP: 38380XHT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    470952 | PA      | $63350.19     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-H19 FB                                        | CUSIP: 38380LR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    394325 | PA      | $394128.90    | 0.04%             | 2069-11-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-61 PZ                                         | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8679446 | PA      | $9114731.08   | 0.85%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 623424                                              | CUSIP: 36291BSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45953 | PA      | $45829.68     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H07 HA                                        | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     43145 | PA      | $43093.41     | 0.00%             | 2063-03-20      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775654                                              | CUSIP: 36176TQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51417 | PA      | $47665.64     | 0.00%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-16 AE                                         | CUSIP: 38374FGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     38367 | PA      | $38461.85     | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-17 ES                                         | CUSIP: 31394CQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      3704 | PA      | $9.60         | 0.00%             | 2035-03-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AS5018                                              | CUSIP: 3138WESG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246283 | PA      | $237203.16    | 0.02%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2002-W1 3A                                         | CUSIP: 31392CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     86549 | PA      | $85177.85     | 0.01%             | 2042-04-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622699                                              | CUSIP: 36291AX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110197 | PA      | $110542.97    | 0.01%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-139 BF                                        | CUSIP: 38381QXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4899363 | PA      | $4925658.99   | 0.46%             | 2055-08-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AF3757                                              | CUSIP: 36181KE63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770739 | PA      | $711169.17    | 0.07%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AK1434                                              | CUSIP: 3138E5SY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79591 | PA      | $76731.00     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2005-25 SI                                         | CUSIP: 38374KT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     35659 | PA      | $4270.26      | 0.00%             | 2034-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA0319                                              | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3393623 | PA      | $3264877.19   | 0.31%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H02 FD                                        | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    278869 | PA      | $278344.66    | 0.03%             | 2062-12-20      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620798                                              | CUSIP: 36290XUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30355 | PA      | $30409.78     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7935                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39115895 | PA      | $32359572.78  | 3.03%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AG8289                                              | CUSIP: 36182DF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2880 | PA      | $2869.13      | 0.00%             | 2065-04-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA4492                                              | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2316829 | PA      | $1878035.91   | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 830743                                              | CUSIP: 31407G5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284509 | PA      | $284361.73    | 0.03%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622931                                              | CUSIP: 36291BA80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15767 | PA      | $15694.27     | 0.00%             | 2033-12-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4283                                                | CUSIP: 36202EXL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24957 | PA      | $24918.32     | 0.00%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614860                                              | CUSIP: 36290RB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18912 | PA      | $18848.20     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732033                                              | CUSIP: 3620AKHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7714 | PA      | $7834.74      | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 546626                                              | CUSIP: 36212XHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30791 | PA      | $30367.25     | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 711400                                              | CUSIP: 36297GKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52961 | PA      | $54525.47     | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4438 AS                                            | CUSIP: 3137BGLS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4396968 | PA      | $362714.68    | 0.03%             | 2045-02-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 636929                                              | CUSIP: 36291SSS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77996 | PA      | $77799.84     | 0.01%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614863                                              | CUSIP: 36290RB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33558 | PA      | $33400.35     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-10 Q                                          | CUSIP: 38379JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7513305 | PA      | $6601245.80   | 0.62%             | 2044-10-20      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-77 ZB                                         | CUSIP: 38376CRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2550185 | PA      | $2642833.35   | 0.25%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2020-34 AI                                         | CUSIP: 3136BAHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |  13298000 | PA      | $908171.60    | 0.08%             | 2035-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG U30705                                              | CUSIP: 31335YYA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82652 | PA      | $84223.72     | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-30 ES                                         | CUSIP: 38379AAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    910545 | PA      | $47479.79     | 0.00%             | 2040-03-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AR4868                                              | CUSIP: 36193BMR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1209959 | PA      | $1155092.88   | 0.11%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4367 MZ                                            | CUSIP: 3137BCLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   9318922 | PA      | $8976468.32   | 0.84%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-134 EF                                        | CUSIP: 38381UFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  11779619 | PA      | $11825578.64  | 1.11%             | 2055-08-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2004-61 SH                                         | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     50911 | PA      | $55247.19     | 0.01%             | 2032-11-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 785204                                              | CUSIP: 3622AAU51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7921428 | PA      | $6843993.05   | 0.64%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-119 TZ                                        | CUSIP: 38378VYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    852775 | PA      | $768463.59    | 0.07%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-149 EZ                                        | CUSIP: 38384DEV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  19075423 | PA      | $19538356.81  | 1.83%             | 2063-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR SD8179                                              | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1927578 | PA      | $1703737.71   | 0.16%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-148 IM                                        | CUSIP: 3136ABMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1496815 | PA      | $23521.24     | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 677784                                              | CUSIP: 36295Q6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64875 | PA      | $66739.42     | 0.01%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA3598                                              | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588150 | PA      | $563643.74    | 0.05%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H20 FB                                        | CUSIP: 38376RFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    192198 | PA      | $192351.25    | 0.02%             | 2065-08-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-149 KL                                        | CUSIP: 38379GSV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1850316 | PA      | $1666714.14   | 0.16%             | 2044-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-145 IU                                        | CUSIP: 38380BHT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3757602 | PA      | $649737.33    | 0.06%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-87 PZ                                         | CUSIP: 38376KQG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    787745 | PA      | $815797.05    | 0.08%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 792513                                              | CUSIP: 36177LYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56740 | PA      | $52847.37     | 0.00%             | 2041-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614864                                              | CUSIP: 36290RB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11524 | PA      | $11492.04     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H22 FC                                        | CUSIP: 38376RGP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    407047 | PA      | $407378.89    | 0.04%             | 2065-09-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 638140                                              | CUSIP: 36291T4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25859 | PA      | $26032.57     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A47657                                              | CUSIP: 3128K8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291885 | PA      | $294809.70    | 0.03%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AF7275                                              | CUSIP: 36181PCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11250 | PA      | $11232.07     | 0.00%             | 2064-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2020-62 KS                                         | CUSIP: 38382FLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2383137 | PA      | $305163.32    | 0.03%             | 2050-05-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS KLU3 X1                                           | CUSIP: 3137H0H76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  33712899 | PA      | $2131629.49   | 0.20%             | 2031-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-120 ZB                                        | CUSIP: 38384CTF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5836035 | PA      | $5985294.34   | 0.56%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-122 SE                                        | CUSIP: 31394VEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |     13607 | PA      | $13784.94     | 0.00%             | 2035-11-25      | Floating      | 9.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA8568                                              | CUSIP: 36179XQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588498 | PA      | $572639.62    | 0.05%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4767                                                | CUSIP: 36202FJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61448 | PA      | $60463.99     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A61314                                              | CUSIP: 3128KRN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49724 | PA      | $50242.33     | 0.00%             | 2037-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-37 OA                                         | CUSIP: 38374GSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    127625 | PA      | $111320.42    | 0.01%             | 2034-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2002-W9 A4                                         | CUSIP: 31392ESN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2593191 | PA      | $2606776.04   | 0.24%             | 2042-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-112 MZ                                        | CUSIP: 38384C2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    848539 | PA      | $873438.10    | 0.08%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-120 FG                                        | CUSIP: 38381N3N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  14217085 | PA      | $14307101.99  | 1.34%             | 2055-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS K740 X1                                           | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  23803411 | PA      | $194584.55    | 0.02%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 710078                                              | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       471 | PA      | $463.73       | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7192                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12991437 | PA      | $10747481.56  | 1.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 784473                                              | CUSIP: 3622A26J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2887415 | PA      | $2680399.09   | 0.25%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-H01 FA                                        | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    190211 | PA      | $191979.62    | 0.02%             | 2059-11-20      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4336                                                | CUSIP: 36202EY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4856 | PA      | $4882.17      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG U30857                                              | CUSIP: 31335Y5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22610 | PA      | $23208.68     | 0.00%             | 2038-02-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-H07 FE                                        | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     58112 | PA      | $57961.95     | 0.01%             | 2068-02-20      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H21 FT                                        | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    158464 | PA      | $159029.28    | 0.01%             | 2061-10-20      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN FS1238                                              | CUSIP: 3140XGLU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3946391 | PA      | $3676055.25   | 0.34%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2011-105 MB                                        | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    750000 | PA      | $673835.10    | 0.06%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H06 FS                                        | CUSIP: 38375BPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    602686 | PA      | $604576.32    | 0.06%             | 2062-03-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30245                                              | CUSIP: 31286DHW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46886 | PA      | $48393.91     | 0.00%             | 2037-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732032                                              | CUSIP: 3620AKHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105529 | PA      | $106875.14    | 0.01%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-82 AI                                         | CUSIP: 38381LHP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  56990039 | PA      | $3524551.83   | 0.33%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2015-22 DY                                         | CUSIP: 3136ANEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1401927 | PA      | $1092812.61   | 0.10%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622770                                              | CUSIP: 36291A2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21675 | PA      | $21575.64     | 0.00%             | 2033-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AI2399                                              | CUSIP: 36198NUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29503 | PA      | $29452.12     | 0.00%             | 2064-10-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AR0570                                              | CUSIP: 36192ST34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66711 | PA      | $59862.35     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 819456                                              | CUSIP: 31406TMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120762 | PA      | $119677.68    | 0.01%             | 2035-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AO2108                                              | CUSIP: 3138LSKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3733869 | PA      | $3607081.73   | 0.34%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG G04723                                              | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6854 | PA      | $6938.70      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG Q53207                                              | CUSIP: 3132XVR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1172292 | PA      | $1095035.56   | 0.10%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 784779                                              | CUSIP: 3622AAFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4305113 | PA      | $3959030.84   | 0.37%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-116 Z                                         | CUSIP: 38380MGJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12028760 | PA      | $9985678.65   | 0.93%             | 2058-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA3106                                              | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1059796 | PA      | $1016388.09   | 0.10%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA6341                                              | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4236358 | PA      | $4168068.97   | 0.39%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 630273                                              | CUSIP: 36291KFN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31956 | PA      | $31765.25     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 912063                                              | CUSIP: 31411NJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50370 | PA      | $50573.31     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7704                                              | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2105289 | PA      | $1741651.03   | 0.16%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 755872                                              | CUSIP: 36230QQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41679 | PA      | $39584.51     | 0.00%             | 2040-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H10 FT                                        | CUSIP: 38375BU26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    145170 | PA      | $145209.32    | 0.01%             | 2063-04-20      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-128 TF                                        | CUSIP: 38377YCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    294152 | PA      | $291799.31    | 0.03%             | 2041-05-16      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS K-1516 X1                                         | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  16218885 | PA      | $1629519.48   | 0.15%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-54 HZ                                         | CUSIP: 38374VZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    226313 | PA      | $230951.61    | 0.02%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AH8796                                              | CUSIP: 36182RXZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250376 | PA      | $247322.92    | 0.02%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-118 ZP                                        | CUSIP: 38379EGH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1893172 | PA      | $1793580.46   | 0.17%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 793063                                              | CUSIP: 36177MMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359666 | PA      | $330198.18    | 0.03%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG G61748                                              | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2486946 | PA      | $2333449.39   | 0.22%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30383                                              | CUSIP: 31286DM81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75758 | PA      | $78367.26     | 0.01%             | 2037-12-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -14 | NC      | $45909.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5764                                              | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3815829 | PA      | $3753141.25   | 0.35%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 611149                                              | CUSIP: 36202V5J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37961 | PA      | $37881.78     | 0.00%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 2-Year T-Note Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       209 | NC      | $-310631.16   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-166 GS                                        | CUSIP: 38377RG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4935391 | PA      | $454744.91    | 0.04%             | 2040-12-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-115 EM                                        | CUSIP: 38379EWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2793200 | PA      | $2652467.41   | 0.25%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-31 BP                                         | CUSIP: 38374TXJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    591594 | PA      | $595019.59    | 0.06%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H31 FT                                        | CUSIP: 38376RMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     79607 | PA      | $79925.09     | 0.01%             | 2065-11-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BF0125                                              | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3674494 | PA      | $3481361.66   | 0.33%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 768924                                              | CUSIP: 36176LAZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309322 | PA      | $287330.80    | 0.03%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H14 FD                                        | CUSIP: 38375B3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     98846 | PA      | $98818.97     | 0.01%             | 2063-06-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS K106 X1                                           | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   8594034 | PA      | $372251.03    | 0.03%             | 2030-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG B32103                                              | CUSIP: 312979KQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33939 | PA      | $34949.62     | 0.00%             | 2038-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FN MA4493                                              | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2190397 | PA      | $1857038.08   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A61479                                              | CUSIP: 3128KRUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76014 | PA      | $78279.77     | 0.01%             | 2037-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-139 IO                                        | CUSIP: 38381JUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2391568 | PA      | $111275.12    | 0.01%             | 2065-05-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620888                                              | CUSIP: 36290XXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29375 | PA      | $29462.55     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 807536                                              | CUSIP: 31406EEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37868 | PA      | $37851.25     | 0.00%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-H05 FB                                        | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    274816 | PA      | $275220.29    | 0.03%             | 2063-12-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 784748                                              | CUSIP: 3622AAEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2127412 | PA      | $1983354.81   | 0.19%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG G06713                                              | CUSIP: 3128M8YJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032328 | PA      | $1045184.07   | 0.10%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2023-55 AY                                         | CUSIP: 3136BQSP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3816287 | PA      | $3967197.49   | 0.37%             | 2053-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 720944                                              | CUSIP: 3620A65D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381626 | PA      | $387909.57    | 0.04%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-20 VZ                                         | CUSIP: 38384JXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6726675 | PA      | $6831666.48   | 0.64%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 DC0118                                              | CUSIP: 3618HEDX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1055954 | PA      | $1084798.47   | 0.10%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 647553                                              | CUSIP: 36292FMA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116736 | PA      | $121671.06    | 0.01%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4163                                                | CUSIP: 36202ETU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1565 | PA      | $1575.55      | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H08 FD                                        | CUSIP: 38375BKX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     55293 | PA      | $55306.81     | 0.01%             | 2061-02-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-88 IO                                         | CUSIP: 38381JLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3992433 | PA      | $265354.48    | 0.02%             | 2065-03-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-98 EI                                         | CUSIP: 38375GC58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    387775 | PA      | $28217.11     | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-163 YA                                        | CUSIP: 38380KLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    750000 | PA      | $631892.25    | 0.06%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4335                                                | CUSIP: 36202EY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94361 | PA      | $95490.92     | 0.01%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-147 BE                                        | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7000000 | PA      | $6623961.40   | 0.62%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-66 KE                                         | CUSIP: 3136A6ZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1658861 | PA      | $1585915.62   | 0.15%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A61253                                              | CUSIP: 3128KRMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59103 | PA      | $60824.01     | 0.01%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 723526                                              | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64255 | PA      | $63425.50     | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628365                                              | CUSIP: 36291HCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28259 | PA      | $28311.34     | 0.00%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H03 FB                                        | CUSIP: 38376RNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     80891 | PA      | $81074.95     | 0.01%             | 2066-01-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3658 CZ                                            | CUSIP: 31398VN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    856335 | PA      | $866519.05    | 0.08%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-79 PZ                                         | CUSIP: 38376CUB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1452642 | PA      | $1481939.92   | 0.14%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2006-8 HL                                          | CUSIP: 31394VV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2243436 | PA      | $165649.04    | 0.02%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30430                                              | CUSIP: 31286DPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27232 | PA      | $27924.10     | 0.00%             | 2037-08-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H19 FA                                        | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    456756 | PA      | $456651.66    | 0.04%             | 2061-08-20      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H01 FL                                        | CUSIP: 38376RNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     49931 | PA      | $50036.80     | 0.00%             | 2065-12-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 946772                                              | CUSIP: 31413JJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93604 | PA      | $94751.92     | 0.01%             | 2047-08-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG Q49387                                              | CUSIP: 3132WPND5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    742187 | PA      | $712801.48    | 0.07%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 670414                                              | CUSIP: 36295GYK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763967 | PA      | $763338.63    | 0.07%             | 2031-11-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7648                                              | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3015131 | PA      | $2494340.20   | 0.23%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-61 CY                                         | CUSIP: 38384MEN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6154000 | PA      | $6211158.35   | 0.58%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628298                                              | CUSIP: 36291G7K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28660 | PA      | $28742.43     | 0.00%             | 2034-03-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 630513                                              | CUSIP: 36291KN60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25525 | PA      | $25599.43     | 0.00%             | 2034-06-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775002                                              | CUSIP: 36176SX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209905 | PA      | $199532.68    | 0.02%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A72047                                              | CUSIP: 3128L5HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6419 | PA      | $6498.69      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775276                                              | CUSIP: 36176TCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10030 | PA      | $9908.42      | 0.00%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5932                                              | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30229 | PA      | $29682.13     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4059 DY                                            | CUSIP: 3137AQZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   5075000 | PA      | $4858597.94   | 0.45%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3065 DC                                            | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     93688 | PA      | $99473.00     | 0.01%             | 2035-03-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614726                                              | CUSIP: 36290Q4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76889 | PA      | $77269.84     | 0.01%             | 2033-06-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-59 ZA                                         | CUSIP: 38377FZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    503083 | PA      | $501673.73    | 0.05%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-148 HI                                        | CUSIP: 3136ABLP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2590709 | PA      | $225682.88    | 0.02%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-110 ZA                                        | CUSIP: 38376ETX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7232028 | PA      | $7305280.22   | 0.68%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H18 EA                                        | CUSIP: 38375B7F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     26080 | PA      | $26087.29     | 0.00%             | 2063-07-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 946089                                              | CUSIP: 31413HRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1454 | PA      | $1453.47      | 0.00%             | 2037-05-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2013-25 BI                                         | CUSIP: 3136ACKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    961253 | PA      | $60290.23     | 0.01%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2006-36 SP                                         | CUSIP: 31395DQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    190597 | PA      | $12277.42     | 0.00%             | 2036-05-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNMA-30YR                                              | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3860960.16   | 0.36%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AH1382                                              | CUSIP: 36182HRB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55904 | PA      | $54977.50     | 0.01%             | 2065-01-20      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 110275000 | PA      | $109003132.26 | 10.20%            | 2056-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628253                                              | CUSIP: 36291G5N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35440 | PA      | $35551.67     | 0.00%             | 2034-02-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H12 FA                                        | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     34178 | PA      | $34174.01     | 0.00%             | 2065-05-20      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-17 SA                                         | CUSIP: 31394CQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1199093 | PA      | $94772.77     | 0.01%             | 2035-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-149 IL                                        | CUSIP: 38379Q7Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1436990 | PA      | $294439.61    | 0.03%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-23 IO                                         | CUSIP: 38378MAU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1203316 | PA      | $183865.23    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AJ7459                                              | CUSIP: 3138E0JD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53753 | PA      | $52176.68     | 0.00%             | 2041-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-158 SA                                        | CUSIP: 38377RAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    456448 | PA      | $44901.56     | 0.00%             | 2040-12-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 558957                                              | CUSIP: 36213M5S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169453 | PA      | $169980.61    | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 968622                                              | CUSIP: 31414KSK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78265 | PA      | $78278.64     | 0.01%             | 2037-12-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-120 MZ                                        | CUSIP: 38381N2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7446971 | PA      | $7221840.75   | 0.68%             | 2055-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-113 BE                                        | CUSIP: 38377J4M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4834696 | PA      | $4841693.54   | 0.45%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | 5-Year T-Note Futures, Jun-2026,ETH                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1246 | NC      | $1701961.86   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Vendee Mortgage Trust 2011-2                                           | VENDE 2011-2 DZ                                        | CUSIP: 92262BAF2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1921464 | PA      | $1799479.46   | 0.17%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3196 ZK                                            | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   4433244 | PA      | $4571151.12   | 0.43%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHMS K108 X1                                           | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  29350487 | PA      | $1599639.72   | 0.15%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H09 AF                                        | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    259407 | PA      | $259459.28    | 0.02%             | 2061-03-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A87434                                              | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315903 | PA      | $319834.12    | 0.03%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-123 IA                                        | CUSIP: 38376GVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     50364 | PA      | $470.68       | 0.00%             | 2052-10-16      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-1 LZ                                          | CUSIP: 38381BVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10691756 | PA      | $9130496.44   | 0.85%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2006-79 SH                                         | CUSIP: 31396KXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1297402 | PA      | $108262.78    | 0.01%             | 2036-08-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 703290                                              | CUSIP: 36296WKB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24250 | PA      | $24294.66     | 0.00%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A90768                                              | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92170 | PA      | $93316.80     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 761133                                              | CUSIP: 36176BLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43146 | PA      | $40076.50     | 0.00%             | 2041-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 835264                                              | CUSIP: 31407M5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244460 | PA      | $240895.06    | 0.02%             | 2035-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 399827                                              | CUSIP: 31378JD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       894 | PA      | $891.65       | 0.00%             | 2027-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2011-10 ZC                                         | CUSIP: 31397QPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    794266 | PA      | $802557.97    | 0.08%             | 2041-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                           | B 0 04/09/26                                           | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $849318.96    | 0.08%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-92 DZ                                         | CUSIP: 38376CR68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    794497 | PA      | $781920.31    | 0.07%             | 2039-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 546553                                              | CUSIP: 36212XE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103350 | PA      | $103058.86    | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-H01 AF                                        | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    201028 | PA      | $200915.61    | 0.02%             | 2060-11-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5596                                              | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72288 | PA      | $71166.83     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG Q49490                                              | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    533423 | PA      | $499147.12    | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94500000 | PA      | $94924658.43  | 8.88%             | 2056-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG C00910                                              | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1642 | PA      | $1683.73      | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2010-147 LS                                        | CUSIP: 31397QY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4098393 | PA      | $416600.86    | 0.04%             | 2041-01-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-165 ZA                                        | CUSIP: 38379FB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1824451 | PA      | $1699417.71   | 0.16%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2004-28 PZ                                         | CUSIP: 31393YFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2259857 | PA      | $2281004.55   | 0.21%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4258                                                | CUSIP: 36202EWT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140370 | PA      | $140153.00    | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-157 PI                                        | CUSIP: 38379FCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    640599 | PA      | $51870.92     | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3710                                                | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24270 | PA      | $24616.49     | 0.00%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7767                                              | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3258466 | PA      | $2807219.92   | 0.26%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNMA-30YR                                              | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3212000 | PA      | $-2945013.45  | -0.28%            | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-31 BP                                         | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    642723 | PA      | $649953.02    | 0.06%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 769262                                              | CUSIP: 36176LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524046 | PA      | $486485.46    | 0.05%             | 2041-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3864 NT                                            | CUSIP: 3137ABE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    138659 | PA      | $139587.02    | 0.01%             | 2039-03-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 783976                                              | CUSIP: 3622A2MZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669328 | PA      | $631847.74    | 0.06%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-123 QI                                        | CUSIP: 38377YEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     51671 | PA      | $2132.14      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2008-39 Z                                          | CUSIP: 38373MW63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    428360 | PA      | $413131.09    | 0.04%             | 2048-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 659052                                              | CUSIP: 36294TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200666 | PA      | $206291.08    | 0.02%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5711                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54466 | PA      | $53655.50     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-180 QB                                        | CUSIP: 38380UFA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10000000 | PA      | $8673172.00   | 0.81%             | 2047-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG U30777                                              | CUSIP: 31335Y2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104513 | PA      | $106227.62    | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AO9485                                              | CUSIP: 3617AARE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58393 | PA      | $56004.09     | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-183 IM                                        | CUSIP: 38379HXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    707319 | PA      | $99235.00     | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7417                                              | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5985302 | PA      | $4951486.14   | 0.46%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AK3807                                              | CUSIP: 36183MGQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    836924 | PA      | $794793.16    | 0.07%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 917261                                              | CUSIP: 31411XB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41359 | PA      | $41856.32     | 0.00%             | 2037-01-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A40375                                              | CUSIP: 3128K0MY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14610 | PA      | $14773.32     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614911                                              | CUSIP: 36290RDQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32296 | PA      | $32155.15     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 691090                                              | CUSIP: 36296GXT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66851 | PA      | $68767.07     | 0.01%             | 2038-04-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2006-67 IO                                         | CUSIP: 38374N8C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1743333 | PA      | $35.48        | 0.00%             | 2046-11-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 733603                                              | CUSIP: 3620AMAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36352 | PA      | $36889.41     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-25 PZ                                         | CUSIP: 38385DFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    215709 | PA      | $228488.46    | 0.02%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-45 PE                                         | CUSIP: 38375KQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     37455 | PA      | $37636.74     | 0.00%             | 2037-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                | FHLBDN 0 05/08/26                                      | CUSIP: 313385WN2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    875000 | PA      | $871675.00    | 0.08%             | 2026-05-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 918419                                              | CUSIP: 31411YK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37902 | PA      | $38676.71     | 0.00%             | 2037-05-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-1 GF                                          | CUSIP: 38385CET1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5555944 | PA      | $5594391.01   | 0.52%             | 2055-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-9 FE                                          | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  20862296 | PA      | $20986726.77  | 1.96%             | 2055-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7988                                              | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3128529 | PA      | $2796978.45   | 0.26%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-4 WI                                          | CUSIP: 38376T2S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    277283 | PA      | $34233.78     | 0.00%             | 2040-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H14 FK                                        | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     72511 | PA      | $72589.24     | 0.01%             | 2062-07-20      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-129 WS                                        | CUSIP: 38379GKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    795252 | PA      | $52387.62     | 0.00%             | 2044-09-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732036                                              | CUSIP: 3620AKHM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13501 | PA      | $13664.57     | 0.00%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2019-49 IG                                         | CUSIP: 3136B55B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2562082 | PA      | $167528.93    | 0.02%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4309                                                | CUSIP: 36202EYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       631 | PA      | $634.49       | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-116 QZ                                        | CUSIP: 38384EFA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  13287485 | PA      | $13453763.59  | 1.26%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST SERIES 2017-SC02               | FWLS 2017-SC02 1A2                                     | CUSIP: 3137G1BU0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   6106881 | PA      | $5227957.96   | 0.49%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHW 2005-S001 2A2                                      | CUSIP: 35562QAD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1107398 | PA      | $1084943.12   | 0.10%             | 2045-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 521314                                              | CUSIP: 36211SDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9119 | PA      | $9275.68      | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614914                                              | CUSIP: 36290RDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50115 | PA      | $50143.00     | 0.00%             | 2033-07-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7255                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18822660 | PA      | $16215211.87  | 1.52%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30182                                              | CUSIP: 31286DFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43511 | PA      | $44567.31     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4214                                                | CUSIP: 36202EVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11717 | PA      | $11785.51     | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-99 IO                                         | CUSIP: 38379DCW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1379504 | PA      | $271134.73    | 0.03%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-121 TB                                        | CUSIP: 38377KWB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    918000 | PA      | $869802.71    | 0.08%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7534                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3246705 | PA      | $2796948.78   | 0.26%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-74 KI                                         | CUSIP: 38382RKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4660933 | PA      | $696762.19    | 0.07%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620792                                              | CUSIP: 36290XUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111342 | PA      | $112111.82    | 0.01%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30297                                              | CUSIP: 31286DKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24176 | PA      | $24728.69     | 0.00%             | 2037-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FREMF 2020-K110 MORTGAGE TRUST                                         | FHMS K110 X1                                           | CUSIP: 3137FTZS9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  17990785 | PA      | $971073.29    | 0.09%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-20 BS                                         | CUSIP: 38379VDH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   5564193 | PA      | $604109.17    | 0.06%             | 2046-02-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-167 Z                                         | CUSIP: 38378YBA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1639131 | PA      | $1545407.07   | 0.14%             | 2043-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 605112                                              | CUSIP: 36200NGV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63402 | PA      | $63326.83     | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A91979                                              | CUSIP: 312940FU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327076 | PA      | $329385.02    | 0.03%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 626789                                              | CUSIP: 36291FKA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99478 | PA      | $101109.47    | 0.01%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2019-17 Z                                          | CUSIP: 38380MK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2136071 | PA      | $1329134.26   | 0.12%             | 2060-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AO9443                                              | CUSIP: 3617AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2094790 | PA      | $1999805.36   | 0.19%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-68 SD                                         | CUSIP: 3136A7BY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    489361 | PA      | $24970.78     | 0.00%             | 2032-06-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AK3747                                              | CUSIP: 36183MEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015946 | PA      | $964786.08    | 0.09%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-6 EB                                          | CUSIP: 38385B5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  10745000 | PA      | $10894747.69  | 1.02%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN AB5495                                              | CUSIP: 36178SC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95784 | PA      | $92031.34     | 0.01%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-101 LF                                        | CUSIP: 38385GD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  17506993 | PA      | $17617006.57  | 1.65%             | 2055-06-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-60 SG                                         | CUSIP: 38378EWC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2201115 | PA      | $188616.40    | 0.02%             | 2042-05-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA5529                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153457 | PA      | $151124.85    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-64 ZH                                         | CUSIP: 38379PF69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   4460381 | PA      | $3936571.86   | 0.37%             | 2045-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3488                                                | CUSIP: 36202D2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12063 | PA      | $12330.61     | 0.00%             | 2033-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 BF5582                                              | CUSIP: 3617GCFX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7683 | PA      | $7631.09      | 0.00%             | 2068-02-20      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 582269                                              | CUSIP: 36201F2A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26798 | PA      | $27501.62     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN AA0703                                              | CUSIP: 36177WX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69032 | PA      | $63994.18     | 0.01%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 799982                                              | CUSIP: 36177VCU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119655 | PA      | $108261.24    | 0.01%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4941 CZ                                            | CUSIP: 3137FQRX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2127299 | PA      | $1880594.73   | 0.18%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 684443                                              | CUSIP: 36295YLY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92370 | PA      | $96176.05     | 0.01%             | 2038-01-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FR QD5489                                              | CUSIP: 3133B3C21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1196965 | PA      | $1062107.41   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN AK0867                                              | CUSIP: 3138E46D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54740 | PA      | $51776.21     | 0.00%             | 2041-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2020-63 BI                                         | CUSIP: 38382FFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15086890 | PA      | $1463311.44   | 0.14%             | 2035-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 2653 SC                                            | CUSIP: 31393WQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    154620 | PA      | $154859.33    | 0.01%             | 2033-07-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 630343                                              | CUSIP: 36291KHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24769 | PA      | $24623.34     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-42 VZ                                         | CUSIP: 38377EEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3569253 | PA      | $3722675.09   | 0.35%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 769101                                              | CUSIP: 36176LGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799240 | PA      | $761886.64    | 0.07%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H22 FT                                        | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    219248 | PA      | $219638.72    | 0.02%             | 2063-04-20      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 938521                                              | CUSIP: 31412YD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128683 | PA      | $131834.18    | 0.01%             | 2036-11-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG A74793                                              | CUSIP: 3128L8KE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28101 | PA      | $28450.11     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-169 BG                                        | CUSIP: 38378CCS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     76963 | PA      | $77183.95     | 0.01%             | 2039-04-16      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 786238                                              | CUSIP: 3622ABZB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6719683 | PA      | $5965361.96   | 0.56%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-128 VS                                        | CUSIP: 3136A9QK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1493947 | PA      | $61178.77     | 0.01%             | 2042-06-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-149 HZ                                        | CUSIP: 38384DHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8124463 | PA      | $8406938.95   | 0.79%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2011-30 ZA                                         | CUSIP: 31397SMB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    920063 | PA      | $934490.78    | 0.09%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620727                                              | CUSIP: 36290XSQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18313 | PA      | $18346.86     | 0.00%             | 2033-08-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2016-51 S                                          | CUSIP: 3136ATEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1899325 | PA      | $1624023.10   | 0.15%             | 2043-10-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775278                                              | CUSIP: 36176TCP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162199 | PA      | $151078.87    | 0.01%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 645286                                              | CUSIP: 31390F2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24185 | PA      | $24882.65     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-1 M55D                                       | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   3354424 | PA      | $3192546.97   | 0.30%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30185                                              | CUSIP: 31286DF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50568 | PA      | $52030.23     | 0.00%             | 2037-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 988490                                              | CUSIP: 31415TC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53360 | PA      | $53368.53     | 0.00%             | 2038-05-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 638566                                              | CUSIP: 36291UMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62279 | PA      | $64349.91     | 0.01%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FG T30397                                              | CUSIP: 31286DNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72114 | PA      | $74063.51     | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2006-7 ZA                                          | CUSIP: 38374MXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    822136 | PA      | $834754.68    | 0.08%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-162 PL                                        | CUSIP: 38380HXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2890000 | PA      | $2250295.61   | 0.21%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-124 MI                                        | CUSIP: 38378H3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    158108 | PA      | $12345.02     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H19 DF                                        | CUSIP: 38375B5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    380596 | PA      | $380913.12    | 0.04%             | 2063-05-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H18 FB                                        | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    206349 | PA      | $206478.94    | 0.02%             | 2065-07-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-116 PB                                        | CUSIP: 38377LAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1784072 | PA      | $1824355.50   | 0.17%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-48 SY                                         | CUSIP: 38375K7C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    146704 | PA      | $145157.19    | 0.01%             | 2037-08-16      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-61 EZ                                         | CUSIP: 38376FBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1566385 | PA      | $1637785.58   | 0.15%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 732037                                              | CUSIP: 3620AKHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37319 | PA      | $37723.46     | 0.00%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3012 ST                                            | CUSIP: 31395WWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      7513 | PA      | $7625.76      | 0.00%             | 2035-04-15      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2004-W11 2A                                        | CUSIP: 31394AC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1218649 | PA      | $1162393.00   | 0.11%             | 2043-03-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-116 NS                                        | CUSIP: 38377LJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    400641 | PA      | $28081.04     | 0.00%             | 2040-09-16      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 793064                                              | CUSIP: 36177MMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146232 | PA      | $135791.75    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H11 VA                                        | CUSIP: 38375BSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    327139 | PA      | $328312.06    | 0.03%             | 2062-05-20      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 2473                                                | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       568 | PA      | $571.77       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 646982                                              | CUSIP: 36292EXK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62737 | PA      | $63831.42     | 0.01%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II MORTGAGE-BACKED SECURITIES | G2 3400                                                | CUSIP: 36202DX55<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32247 | PA      | $31268.36     | 0.00%             | 2033-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-127 ZC                                        | CUSIP: 38384USE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2072464 | PA      | $2070135.40   | 0.19%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2008-40 PS                                         | CUSIP: 38375QLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    307724 | PA      | $17102.91     | 0.00%             | 2038-05-16      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-1 FJ                                          | CUSIP: 38385CEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   7555961 | PA      | $7604591.75   | 0.71%             | 2055-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-183 FB                                        | CUSIP: 38384XWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3934181 | PA      | $3952343.47   | 0.37%             | 2054-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7367                                              | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14117058 | PA      | $12162325.44  | 1.14%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 BS0619                                              | CUSIP: 3617MAVL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1559068 | PA      | $1371511.73   | 0.13%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-186 ZE                                        | CUSIP: 38378PTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2363082 | PA      | $2078412.01   | 0.19%             | 2043-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3840                                                | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71416 | PA      | $72371.75     | 0.01%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-1 DY                                          | CUSIP: 38385CNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   6897664 | PA      | $6664944.40   | 0.62%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H21 FB                                        | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     21527 | PA      | $21572.30     | 0.00%             | 2063-09-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H14 FG                                        | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    102488 | PA      | $102464.99    | 0.01%             | 2063-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2018-37 DZ                                         | CUSIP: 3136B14Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    523709 | PA      | $496302.20    | 0.05%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 747582                                              | CUSIP: 3620C3RB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96119 | PA      | $91859.83     | 0.01%             | 2040-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN BV3034                                              | CUSIP: 3140MGLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1277934 | PA      | $1097176.15   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2013-135 PO                                        | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    857231 | PA      | $627314.66    | 0.06%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4737                                                | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19481 | PA      | $19096.96     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2007-1 NR                                          | CUSIP: 31396PJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    577725 | PA      | $831786.67    | 0.08%             | 2037-02-25      | Floating      | 18.80%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4560                                                | CUSIP: 36202FB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14591 | PA      | $15065.83     | 0.00%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775656                                              | CUSIP: 36176TQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87406 | PA      | $83293.44     | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES SERIES 2020-K119      | FHMS K119 X1                                           | CUSIP: 3137F6GV3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2920251 | PA      | $99265.76     | 0.01%             | 2030-09-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 905603                                              | CUSIP: 31411EDG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47209 | PA      | $48568.77     | 0.00%             | 2036-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN AA0702                                              | CUSIP: 36177WX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49257 | PA      | $45677.69     | 0.00%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-136 BI                                        | CUSIP: 38377X4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9060250 | PA      | $1423410.52   | 0.13%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 741084                                              | CUSIP: 3620AVJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20342 | PA      | $20494.60     | 0.00%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-118 XZ                                        | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1468347 | PA      | $1490970.15   | 0.14%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 2767 ZW                                            | CUSIP: 31394THM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    335088 | PA      | $347400.65    | 0.03%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-96 SQ                                         | CUSIP: 38379CZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    630668 | PA      | $47458.08     | 0.00%             | 2044-07-16      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 744845                                              | CUSIP: 3620C0P69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468090 | PA      | $1367219.17   | 0.13%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2020-44 TI                                         | CUSIP: 3136BAN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1849390 | PA      | $250667.28    | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-99 SK                                         | CUSIP: 38378VSP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    796808 | PA      | $47927.08     | 0.00%             | 2043-07-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-34 MS                                         | CUSIP: 38378D5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     81788 | PA      | $2351.83      | 0.00%             | 2041-04-16      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2014-107 XS                                        | CUSIP: 38379C5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1316833 | PA      | $97208.23     | 0.01%             | 2044-07-16      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 761682                                              | CUSIP: 36176B6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63471 | PA      | $59126.20     | 0.01%             | 2041-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3544                                                | CUSIP: 36202D5D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70800 | PA      | $73036.99     | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 5013 QI                                            | CUSIP: 3137FW5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |  17228274 | PA      | $3258864.93   | 0.30%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-17 B                                          | CUSIP: 31394CRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   3109698 | PA      | $3227592.15   | 0.30%             | 2035-03-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AS6419                                              | CUSIP: 36193SDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2810 | PA      | $2764.09      | 0.00%             | 2066-04-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2005-7 AH                                          | CUSIP: 38374KA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    171811 | PA      | $11924.41     | 0.00%             | 2035-02-16      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-32 QZ                                         | CUSIP: 38374UCV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1032641 | PA      | $1028573.21   | 0.10%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 828259                                              | CUSIP: 31407EE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302296 | PA      | $302139.23    | 0.03%             | 2035-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2005-21 Z                                          | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    349645 | PA      | $349681.84    | 0.03%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614862                                              | CUSIP: 36290RB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9082 | PA      | $9194.02      | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AR0572                                              | CUSIP: 36192ST59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175166 | PA      | $167223.41    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-91 JN                                         | CUSIP: 38380XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1000000 | PA      | $802235.70    | 0.08%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 608102                                              | CUSIP: 36202SRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14076 | PA      | $13838.51     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H20 FB                                        | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    283247 | PA      | $285833.24    | 0.03%             | 2063-08-20      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2003-W15 2A7                                       | CUSIP: 31393TC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2007762 | PA      | $2012434.56   | 0.19%             | 2043-08-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 625744                                              | CUSIP: 36291EER8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20127 | PA      | $19879.48     | 0.00%             | 2034-01-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3625                                                | CUSIP: 36202EA25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25299 | PA      | $26282.45     | 0.00%             | 2034-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 628159                                              | CUSIP: 36291GZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46892 | PA      | $47044.94     | 0.00%             | 2034-01-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 938520                                              | CUSIP: 31412YDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20705 | PA      | $21063.83     | 0.00%             | 2036-11-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 BB6189                                              | CUSIP: 3617AW2W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    676326 | PA      | $628627.36    | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2024-20 KZ                                         | CUSIP: 38384JE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   8517348 | PA      | $8583611.54   | 0.80%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                            | U.S. Treasury Bond Futures, Jun-2026,ETH               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -60 | NC      | $186608.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-141 IX                                        | CUSIP: 38379Q2P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2364266 | PA      | $29604.40     | 0.00%             | 2045-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2003-16 CX                                         | CUSIP: 31392JQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    286564 | PA      | $298364.38    | 0.03%             | 2033-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 5000 DC                                            | CUSIP: 3137FVF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2597868 | PA      | $2299694.06   | 0.22%             | 2040-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2008-82 SA                                         | CUSIP: 38375YDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1024923 | PA      | $79252.70     | 0.01%             | 2038-09-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 3320                                                | CUSIP: 36202DVM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12623 | PA      | $12955.69     | 0.00%             | 2032-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2023-111 FC                                        | CUSIP: 38384CKP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    761986 | PA      | $768099.70    | 0.07%             | 2053-08-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-154 PI                                        | CUSIP: 3136AA6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    996558 | PA      | $103570.24    | 0.01%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3181 TA                                            | CUSIP: 31396URW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   1704289 | PA      | $25384.87     | 0.00%             | 2036-07-15      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bills                                           | B 0 05/07/26                                           | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1725000 | PA      | $1718725.31   | 0.16%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-H12 FA                                        | CUSIP: 38375BRW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    260593 | PA      | $260106.34    | 0.02%             | 2062-04-20      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-H20 FG                                        | CUSIP: 38376RYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     42716 | PA      | $42756.40     | 0.00%             | 2066-08-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622772                                              | CUSIP: 36291A2D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32699 | PA      | $32761.79     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H17 FA                                        | CUSIP: 38375B3Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     90094 | PA      | $90180.71     | 0.01%             | 2063-07-20      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2016-64 LD                                         | CUSIP: 3136ATVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   4333554 | PA      | $3998422.07   | 0.37%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H14 FB                                        | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     67017 | PA      | $66967.57     | 0.01%             | 2065-05-20      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2005-80 Z                                          | CUSIP: 38374MAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    528130 | PA      | $527892.86    | 0.05%             | 2035-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2010-106 IP                                        | CUSIP: 38377DAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    268776 | PA      | $8344.43      | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-117 BE                                        | CUSIP: 38380GLA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1000000 | PA      | $838738.30    | 0.08%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2-30YR-Multi                                          | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2052000 | PA      | $-1982670.43  | -0.19%            | 2056-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2013-54 ID                                         | CUSIP: 3136AEVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    555935 | PA      | $22260.20     | 0.00%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-H14 FV                                        | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    335649 | PA      | $335721.79    | 0.03%             | 2067-06-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2004-88 ZC                                         | CUSIP: 31394BQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1304268 | PA      | $1386253.78   | 0.13%             | 2034-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614780                                              | CUSIP: 36290Q6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65672 | PA      | $65886.80     | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2005-99 XA                                         | CUSIP: 31394U5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   1861549 | PA      | $1883891.12   | 0.18%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 3770 GA                                            | CUSIP: 3137A4LJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2867954 | PA      | $2860440.83   | 0.27%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2016-5 AB                                          | CUSIP: 38379TPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1940130 | PA      | $1956025.98   | 0.18%             | 2046-01-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614724                                              | CUSIP: 36290Q4H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20803 | PA      | $20732.74     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 737432                                              | CUSIP: 3620ARHH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74641 | PA      | $76561.60     | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 726918                                              | CUSIP: 3620ADSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211044 | PA      | $209630.66    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-114 Z                                         | CUSIP: 38380MFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2136214 | PA      | $1599698.10   | 0.15%             | 2060-04-16      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2020-47 LI                                         | CUSIP: 38382ECA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  15899773 | PA      | $3059298.29   | 0.29%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2017-123 IO                                        | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1500051 | PA      | $309378.15    | 0.03%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 4260                                                | CUSIP: 36202EWV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7299 | PA      | $7407.81      | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2006-44 P                                          | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      9401 | PA      | $8214.73      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 2974 KO                                            | CUSIP: 31395TX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |     75734 | PA      | $63382.53     | 0.01%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620721                                              | CUSIP: 36290XSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53753 | PA      | $53923.18     | 0.01%             | 2033-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-90 FA                                         | CUSIP: 38385GB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   9139609 | PA      | $9204455.36   | 0.86%             | 2055-05-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNW 2001-W4 AF6                                        | CUSIP: 3139216U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      1206 | PA      | $1206.02      | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2002-W6 3A                                         | CUSIP: 31392DG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    371090 | PA      | $360801.66    | 0.03%             | 2042-01-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2008-51 GS                                         | CUSIP: 38375QZ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    552165 | PA      | $46941.30     | 0.00%             | 2038-06-16      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-41 OL                                         | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    659276 | PA      | $550000.10    | 0.05%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-H23 FA                                        | CUSIP: 38375B8G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    141340 | PA      | $142486.62    | 0.01%             | 2063-09-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-123 GY                                        | CUSIP: 38379QDJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    130000 | PA      | $101789.39    | 0.01%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNW 2004-W2 4A                                         | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    538637 | PA      | $531537.80    | 0.05%             | 2044-02-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AO9441                                              | CUSIP: 3617AAP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53298 | PA      | $47777.71     | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-31 ZL                                         | CUSIP: 38374TWL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    891624 | PA      | $894880.71    | 0.08%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 728312                                              | CUSIP: 3620AFDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217138 | PA      | $216151.63    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 611665                                              | CUSIP: 36202WQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23383 | PA      | $23731.27     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 954308                                              | CUSIP: 31413SU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103116 | PA      | $103957.43    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2007-17 CI                                         | CUSIP: 38375JSW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    522768 | PA      | $63443.50     | 0.01%             | 2037-04-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 677699                                              | CUSIP: 36295Q3G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79692 | PA      | $82828.86     | 0.01%             | 2037-09-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2010-95 SB                                         | CUSIP: 31398NEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    930209 | PA      | $64891.63     | 0.01%             | 2040-09-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2004-28 CZ                                         | CUSIP: 38374GCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    263831 | PA      | $265921.70    | 0.02%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2025-72 LC                                         | CUSIP: 38385EL93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1328000 | PA      | $1305543.12   | 0.12%             | 2052-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614728                                              | CUSIP: 36290Q4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37239 | PA      | $37057.95     | 0.00%             | 2033-06-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-68 ZC                                         | CUSIP: 38373ATV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   3447899 | PA      | $3539132.90   | 0.33%             | 2039-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Department of Veterans Affairs                           | VENDE 2003-2 Z                                         | CUSIP: 911760TM8<br>LEI: 549300MGSV36CLTS9L88 | Long             | ABS-O            | USGA              | US        |    791923 | PA      | $796137.51    | 0.07%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 939614                                              | CUSIP: 31413AK36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35078 | PA      | $35680.81     | 0.00%             | 2037-01-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 939615                                              | CUSIP: 31413AK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157572 | PA      | $161401.70    | 0.02%             | 2037-02-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA6286                                              | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3358431 | PA      | $3315253.35   | 0.31%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H03 FA                                        | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    233470 | PA      | $233504.83    | 0.02%             | 2064-12-20      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 942654                                              | CUSIP: 31413DWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41299 | PA      | $42833.84     | 0.00%             | 2037-07-01      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                                | FHLBDN 0 04/30/26                                      | CUSIP: 313385WE2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   8000000 | PA      | $7976133.36   | 0.75%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2012-103 IC                                        | CUSIP: 38375GWV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    178192 | PA      | $2177.55      | 0.00%             | 2040-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 614727                                              | CUSIP: 36290Q4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21714 | PA      | $21777.58     | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 768674                                              | CUSIP: 36176KXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269570 | PA      | $250882.97    | 0.02%             | 2041-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2010-26 F                                          | CUSIP: 31398MDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    565602 | PA      | $568326.73    | 0.05%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-90 B                                          | CUSIP: 38381DJJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2333712 | PA      | $1203915.11   | 0.11%             | 2061-05-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2009-87 WZ                                         | CUSIP: 38376KPV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2884948 | PA      | $2966500.40   | 0.28%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 625702                                              | CUSIP: 36291EDF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33294 | PA      | $33395.11     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2022-205 ZG                                        | CUSIP: 38383HBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  12561974 | PA      | $12423181.37  | 1.16%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 580832                                              | CUSIP: 36201EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5351 | PA      | $5342.61      | 0.00%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H10 FH                                        | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    322598 | PA      | $322767.61    | 0.03%             | 2065-04-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2012-17 QZ                                         | CUSIP: 3136A4F38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   2829622 | PA      | $2750325.84   | 0.26%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2015-H26 FC                                        | CUSIP: 38376RJV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     68340 | PA      | $68437.32     | 0.01%             | 2065-08-20      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2018-112 AL                                        | CUSIP: 38380YAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1065384 | PA      | $988375.65    | 0.09%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 956151                                              | CUSIP: 31413UWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77538 | PA      | $78117.10     | 0.01%             | 2037-09-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FN 824308                                              | CUSIP: 31406YYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184607 | PA      | $184621.97    | 0.02%             | 2035-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 638564                                              | CUSIP: 36291UMM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57876 | PA      | $59799.25     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                                  | FNR 2017-22 DZ                                         | CUSIP: 3136AVV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |   5288915 | PA      | $5018768.25   | 0.47%             | 2047-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS THROUGH CERTIFICATES                       | SCRT 2019-3 M55D                                       | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   1486856 | PA      | $1404565.78   | 0.13%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622929                                              | CUSIP: 36291BA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19051 | PA      | $19108.25     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2013-186 UI                                        | CUSIP: 38378PUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   1900000 | PA      | $217676.92    | 0.02%             | 2043-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 MA7650                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2205832 | PA      | $1973048.71   | 0.18%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 622898                                              | CUSIP: 36291A7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17514 | PA      | $17433.47     | 0.00%             | 2033-11-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 708461                                              | CUSIP: 36297DB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88325 | PA      | $90687.52     | 0.01%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 AH1390                                              | CUSIP: 36182HRK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103040 | PA      | $102530.65    | 0.01%             | 2065-01-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4097 ZA                                            | CUSIP: 3137ATRR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |    915349 | PA      | $863194.70    | 0.08%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                               | GNR 2019-56 YI                                         | CUSIP: 38381VZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGSE             | US        |   9779217 | PA      | $2380124.51   | 0.22%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775659                                              | CUSIP: 36176TQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121314 | PA      | $112992.38    | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2022-47 EB                                         | CUSIP: 38383MX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2346452 | PA      | $2010284.50   | 0.19%             | 2037-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                  | FNR 2015-68 JW                                         | CUSIP: 3136AP2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    711932 | PA      | $691567.19    | 0.06%             | 2030-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620724                                              | CUSIP: 36290XSM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18735 | PA      | $18573.30     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                       | FHR 4372 Z                                             | CUSIP: 3137BDB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |   2250392 | PA      | $2050442.40   | 0.19%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 792718                                              | CUSIP: 36177MAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73671 | PA      | $66593.95     | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GN 775279                                              | CUSIP: 36176TCQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59191 | PA      | $56572.11     | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 620894                                              | CUSIP: 36290XXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83047 | PA      | $84300.20     | 0.01%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2021-80 Z                                          | CUSIP: 38381DDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |   2687860 | PA      | $1081241.96   | 0.10%             | 2062-12-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | GNR 2011-169 BC                                        | CUSIP: 38378CCP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |     10356 | PA      | $10450.73     | 0.00%             | 2032-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                               | G2 DC0120                                              | CUSIP: 3618HEDZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1623815 | PA      | $1658762.84   | 0.16%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Voya Funds Trust

**Signature:** Dorothy Roman

**Name of Signer:** Dorothy Roman

**Title:** Vice President, Fund Administration