# EDGAR Filing Document

**Accession Number:** 0000701039
**File Stem:** 0001410368-26-020597
**Filing Date:** 2026-2
**Character Count:** 144108
**Document Hash:** 200e56158bc39d2a9b93b0bd13943d8e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-020597.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001410368-26-020597

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Calvert Fund
- **CENTRAL INDEX KEY:** 0000701039

**ORGANIZATION NAME:**
- **EIN:** 526228948
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03416
- **FILM NUMBER:** 26696875

**BUSINESS ADDRESS:**
- **STREET 1:** 2050 M STREET NW
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20036
- **BUSINESS PHONE:** 8002256265

**MAIL ADDRESS:**
- **STREET 1:** 2050 M STREET NW
- **CITY:** WASHINGTON
- **STATE:** DC
- **ZIP:** 20036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CALVERT FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Calvert Mortgage Access Fund (Series ID: S000076002)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000235421 | Calvert Mortgage Access Fund Class R6 | CMMRX           |
| C000235422 | Calvert Mortgage Access Fund Class A  | CMMAX           |
| C000235423 | Calvert Mortgage Access Fund Class C  | CMMCX           |
| C000235424 | Calvert Mortgage Access Fund Class I  | CMMIX           |

## Nport-Ex

Calvert

Mortgage Access Fund

December 31, 2025

Schedule of Investments (Unaudited)

------

Asset-Backed Securities — 0.9%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| NRZ Excess Spread-Collateralized Notes, Series 2024-FNT1, Class A, 7.398%, 11/25/31<sup>(1)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;917 | $934431 |
| Total Asset-Backed Securities<br> (identified cost $917,272) |  | **$934431** |

---

Collateralized Mortgage Obligations — 67.5%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Angel Oak Mortgage Trust, Series 2021-5, Class A2, 1.208%, 7/25/66<sup>(1)(2)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | $43202 |
| BRAVO Residential Funding Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM1, Class A3, 1.332%, 2/25/49<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp; 44068 |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM3, Class A3, 1.956%, 4/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69 | &nbsp;&nbsp; 65403 |
| &nbsp;&nbsp;&nbsp;Series 2024-NQM1, Class B1, 8.042%, 12/1/63<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112 | &nbsp;&nbsp; 114099 |
| Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;801 | &nbsp;&nbsp; 785053 |
| Champs Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2024-1, Class A, 8.465%, 7/25/59<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1138 | &nbsp;&nbsp; 1173888 |
| &nbsp;&nbsp;&nbsp;Series 2024-2, Class A, 9.60%, 11/25/59<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1187 | &nbsp;&nbsp; 1229412 |
| &nbsp;&nbsp;&nbsp;Series 2024-3, Class A, 8.463%, 1/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1398 | &nbsp;&nbsp;&nbsp;&nbsp;1452167 |
| &nbsp;&nbsp;&nbsp;Series 2025-1, Class A, 7.412%, 4/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1652 | &nbsp;&nbsp;&nbsp;&nbsp;1719806 |
| &nbsp;&nbsp;&nbsp;Series 2025-2, Class A, 6.981%, 10/25/60<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2017 | &nbsp;&nbsp;&nbsp;&nbsp;2095263 |
| CHNGE Mortgage Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class A3, 5.82% to 1/25/26, 6/25/67<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60652 |
| &nbsp;&nbsp;&nbsp;Series 2022-NQM1, Class M1, 5.82% to 1/25/26, 6/25/67<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;499775 |
| &nbsp;&nbsp;&nbsp;Series 2023-1, Class A1, 7.065% to 2/25/26, 3/25/58<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129983 |
| &nbsp;&nbsp;&nbsp;Series 2023-4, Class A3, 8.38% to 8/25/26, 9/25/58<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;383285 |
| Cross Mortgage Trust, Series 2024-H2, Class B1B, 8.234%, 4/25/69<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;476944 |
| FARM Mortgage Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class B, 3.227%, 7/25/51<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1481 | &nbsp;&nbsp;&nbsp;&nbsp;1163910 |
| &nbsp;&nbsp;&nbsp;Series 2022-1, Class B, 2.955%, 1/25/52<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2011 | &nbsp;&nbsp;&nbsp;&nbsp;1537147 |
| &nbsp;&nbsp;&nbsp;Series 2023-1, Class B, 3.036%, 3/25/52<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;891 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681110 |
| &nbsp;&nbsp;&nbsp;Series 2024-1, Class B, 5.084%, 10/1/53<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;763666 |
| &nbsp;&nbsp;&nbsp;Series 2025-1, Class B, 5.627%, 8/1/55<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1158 | &nbsp;&nbsp;&nbsp;&nbsp;1035801 |
| &nbsp;&nbsp;&nbsp;Series 2025-2, Class B, 5.69%, 9/25/55<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;441019 |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;Series 5489, Class S, 7.097%, (15.62% - 30-day SOFR Average x 2.2), 1/25/55<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1123 | &nbsp;&nbsp;&nbsp;&nbsp;1183140 |
| &nbsp;&nbsp;&nbsp;Series 5508, Class DS, 9.377%, (21.00% - 30-day SOFR Average x 3.00), 2/25/55<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;486127 |
| &nbsp;&nbsp;&nbsp;Series 5508, Class SC, 9.377%, (21.00% - 30-day SOFR Average x 3.00), 2/25/55<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;923086 |
| Federal Home Loan Mortgage Corp. STACR REMICS Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-HQA3, Class B2, 11.489%, (30-day SOFR Average + 7.614%), 9/25/49<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280614 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Federal Home Loan Mortgage Corp. STACR REMICS Trust: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-HQA1, Class B2, 8.874%, (30-day SOFR Average + 5.00%), 8/25/33<sup>(1)(5)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;2250 | $2621257 |
| &nbsp;&nbsp;&nbsp;Series 2021-HQA2, Class B2, 9.324%, (30-day SOFR Average + 5.45%), 12/25/33<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1300 | &nbsp;&nbsp; 1551287 |
| &nbsp;&nbsp;&nbsp;Series 2022-HQA2, Class M1B, 7.874%, (30-day SOFR Average + 4.00%), 7/25/42<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp; 523703 |
| &nbsp;&nbsp;&nbsp;Series 2023-HQA2, Class M1B, 7.224%, (30-day SOFR Average + 3.35%), 6/25/43<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp; 774936 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2023-12, Class LW, 6.00%, 4/25/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp; 519205 |
| &nbsp;&nbsp;&nbsp;Series 2024-102, Class SA, 7.097%, (15.62% - 30-day SOFR Average x 2.2), 1/25/55<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1082 | &nbsp;&nbsp; 1144948 |
| Federal National Mortgage Association Connecticut Avenue Securities: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2019-R06, Class 2B1, 7.739%, (30-day SOFR Average + 3.864%), 9/25/39<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181139 |
| &nbsp;&nbsp;&nbsp;Series 2023-R03, Class 2M2, 7.774%, (30-day SOFR Average + 3.90%), 4/25/43<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;527319 |
| GCAT Trust, Series 2023-NQM2, Class A2, 6.243% to 2/25/26, 11/25/67<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;308145 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-160, Class DI, 3.00%, 9/20/51<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88947 |
| &nbsp;&nbsp;&nbsp;Series 2022-126, Class AS, 0.00%, (3.69% - 30-day SOFR Average, Floor 0.00%), 7/20/52<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9490 |
| &nbsp;&nbsp;&nbsp;Series 2022-173, Class S, 8.369%, (22.733% - 30-day SOFR Average x 3.667), 10/20/52<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;177944 |
| &nbsp;&nbsp;&nbsp;Series 2022-175, Class SB, 8.369%, (22.733% - 30-day SOFR Average x 3.667), 10/20/52<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;663 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;696757 |
| &nbsp;&nbsp;&nbsp;Series 2022-195, Class AS, 8.63%, (23.125% - 30-day SOFR Average x 3.70), 11/20/52<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212212 |
| &nbsp;&nbsp;&nbsp;Series 2022-197, Class SW, 6.918%, (16.32% - 30-day SOFR Average x 2.40), 11/20/52<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135789 |
| &nbsp;&nbsp;&nbsp;Series 2023-13, Class SA, 1.482%, (5.40% - 30-day SOFR Average), 1/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34595 |
| &nbsp;&nbsp;&nbsp;Series 2023-19, Class SD, 2.382%, (6.30% - 30-day SOFR Average), 2/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32310 |
| &nbsp;&nbsp;&nbsp;Series 2023-22, Class ES, 2.382%, (6.30% - 30-day SOFR Average), 2/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32449 |
| &nbsp;&nbsp;&nbsp;Series 2023-24, Class SB, 1.232%, (5.15% - 30-day SOFR Average), 2/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36151 |
| &nbsp;&nbsp;&nbsp;Series 2023-24, Class SG, 2.382%, (6.30% - 30-day SOFR Average), 2/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31610 |
| &nbsp;&nbsp;&nbsp;Series 2023-38, Class LS, 2.382%, (6.30% - 30-day SOFR Average), 3/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31201 |
| &nbsp;&nbsp;&nbsp;Series 2023-47, Class HS, 2.382%, (6.30% - 30-day SOFR Average), 3/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10921 |
| &nbsp;&nbsp;&nbsp;Series 2023-47, Class SC, 2.332%, (6.25% - 30-day SOFR Average), 3/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15405 |
| &nbsp;&nbsp;&nbsp;Series 2023-65, Class G, 8.185%, (22.55% - 30-day SOFR Average x 3.667), 5/20/53<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;419168 |
| &nbsp;&nbsp;&nbsp;Series 2023-89, Class SE, 2.132%, (6.05% - 30-day SOFR Average), 6/20/53<sup>(4)(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92771 |
| &nbsp;&nbsp;&nbsp;Series 2023-96, Class BL, 6.00%, 7/20/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;677813 |
| &nbsp;&nbsp;&nbsp;Series 2023-96, Class DB, 6.00%, 7/20/53<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;782392 |
| &nbsp;&nbsp;&nbsp;Series 2023-98, Class BW, 6.00%, 7/20/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260719 |

---

------

Calvert

Mortgage Access Fund

December 31, 2025

Schedule of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Government National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2023-99, Class AL, 6.00%, 7/20/53<sup>(7)</sup> | $1000 | $1043174 |
| &nbsp;&nbsp;&nbsp;Series 2023-100, Class AY, 6.00%, 7/20/53<sup>(7)</sup> | 2000 | &nbsp;&nbsp; 2085968 |
| &nbsp;&nbsp;&nbsp;Series 2023-100, Class JL, 6.00%, 7/20/53 | &nbsp;&nbsp;500 | &nbsp;&nbsp; 521221 |
| &nbsp;&nbsp;&nbsp;Series 2023-102, Class SG, 7.946%, (22.546% - 30-day SOFR Average x 3.727), 7/20/53<sup>(4)</sup> | &nbsp;&nbsp;202 | &nbsp;&nbsp; 218372 |
| &nbsp;&nbsp;&nbsp;Series 2023-133, Class S, 9.847%, (21.60% - 30-day SOFR Average x 3.00), 9/20/53<sup>(4)</sup> | &nbsp;&nbsp;386 | &nbsp;&nbsp; 432432 |
| &nbsp;&nbsp;&nbsp;Series 2023-149, Class S, 9.697%, (21.45% - 30-day SOFR Average x 3.00), 10/20/53<sup>(4)</sup> | &nbsp;&nbsp;255 | &nbsp;&nbsp; 284957 |
| &nbsp;&nbsp;&nbsp;Series 2023-153, Class SM, 12.329%, (28.00% - 30-day SOFR Average x 4.00), 10/20/53<sup>(4)</sup> | &nbsp;&nbsp;163 | &nbsp;&nbsp; 191947 |
| &nbsp;&nbsp;&nbsp;Series 2023-164, Class EL, 6.00%, 11/20/53 | 1500 | &nbsp;&nbsp; 1563899 |
| &nbsp;&nbsp;&nbsp;Series 2023-165, Class DY, 6.00%, 11/20/53 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1035624 |
| &nbsp;&nbsp;&nbsp;Series 2023-165, Class EY, 6.50%, 11/20/53<sup>(7)</sup> | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1053589 |
| &nbsp;&nbsp;&nbsp;Series 2023-173, Class AX, 6.00%, 11/20/53<sup>(7)</sup> | 1500 | &nbsp;&nbsp;&nbsp;&nbsp;1563908 |
| &nbsp;&nbsp;&nbsp;Series 2023-182, Class EL, 6.00%, 12/20/53 | &nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520667 |
| &nbsp;&nbsp;&nbsp;Series 2024-1, Class GL, 6.00%, 1/20/54 | &nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;521057 |
| &nbsp;&nbsp;&nbsp;Series 2024-44, Class LM, 6.00%, 3/20/54 | 1000 | &nbsp;&nbsp;&nbsp;&nbsp;1043014 |
| &nbsp;&nbsp;&nbsp;Series 2024-59, Class LG, 6.00%, 4/20/54<sup>(7)</sup> | 2000 | &nbsp;&nbsp;&nbsp;&nbsp;2086536 |
| &nbsp;&nbsp;&nbsp;Series 2024-64, Class EI, 6.50%, 4/20/64<sup>(6)</sup> | &nbsp;&nbsp;742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115946 |
| &nbsp;&nbsp;&nbsp;Series 2024-83-Principal Only, Class BO, 6/20/53<sup>(8)</sup> | 1010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865969 |
| &nbsp;&nbsp;&nbsp;Series 2024-112, Class EZ, 6.00%, 7/20/54 | &nbsp;&nbsp;544 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;568020 |
| &nbsp;&nbsp;&nbsp;Series 2024-148, Class LZ, 5.50%, 9/20/54 | 2142 | &nbsp;&nbsp;&nbsp;&nbsp;2188369 |
| &nbsp;&nbsp;&nbsp;Series 2024-183, Class ZA, 6.00%, 8/20/54 | 1600 | &nbsp;&nbsp;&nbsp;&nbsp;1670730 |
| &nbsp;&nbsp;&nbsp;Series 2024-196, Class Z, 5.50%, 12/20/54 | &nbsp;&nbsp;528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;531746 |
| &nbsp;&nbsp;&nbsp;Series 2024-197, Class JY, 6.50%, 12/20/54 | &nbsp;&nbsp;584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617746 |
| &nbsp;&nbsp;&nbsp;Series 2025-1, Class BY, 6.50%, 1/20/55 | &nbsp;&nbsp;733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;777919 |
| &nbsp;&nbsp;&nbsp;Series 2025-39, Class CM, 7.818%, (30-day SOFR Average + 3.90%), 3/20/55<sup>(5)</sup> | 1145 | &nbsp;&nbsp;&nbsp;&nbsp;1185813 |
| &nbsp;&nbsp;&nbsp;Series 2025-41, Class MT, 6.851%, (30-day SOFR Average + 2.933%), 3/20/65<sup>(5)</sup> | &nbsp;&nbsp;521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;528692 |
| &nbsp;&nbsp;&nbsp;Series 2025-41, Class NT, 6.851%, (30-day SOFR Average + 2.933%), 3/20/55<sup>(5)</sup> | &nbsp;&nbsp;526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;538890 |
| &nbsp;&nbsp;&nbsp;Series 2025-41, Class QM, 7.818%, (30-day SOFR Average + 3.90%), 3/20/55<sup>(5)</sup> | &nbsp;&nbsp;565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;585001 |
| &nbsp;&nbsp;&nbsp;Series 2025-62, Class FM, 8.118%, (30-day SOFR Average + 4.20%), 4/20/55<sup>(5)</sup> | &nbsp;&nbsp;574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;592837 |
| &nbsp;&nbsp;&nbsp;Series 2025-63, Class FT, 8.00%, (26.40% - 30-day SOFR Average x 4.00), 4/20/55<sup>(4)</sup> | &nbsp;&nbsp;680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;698765 |
| &nbsp;&nbsp;&nbsp;Series 2025-64, Class FM, 8.178%, (30-day SOFR Average + 4.26%), 4/20/55<sup>(5)</sup> | &nbsp;&nbsp;639 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660231 |
| &nbsp;&nbsp;&nbsp;Series 2025-69, Class VN, 10.00%, (68.67% - 30-day SOFR Average x 13.33), 4/20/55<sup>(4)</sup> | &nbsp;&nbsp;680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;709504 |
| &nbsp;&nbsp;&nbsp;Series 2025-82, Class FL, 8.418%, (30-day SOFR Average + 4.50%), 5/20/55<sup>(5)</sup> | &nbsp;&nbsp;966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;998493 |
| &nbsp;&nbsp;&nbsp;Series 2025-83, Class MU, 8.218%, (30-day SOFR Average + 4.30%), 4/20/55<sup>(5)</sup> | &nbsp;&nbsp;909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;929677 |
| &nbsp;&nbsp;&nbsp;Series 2025-90, Class MB, 8.218%, (30-day SOFR Average + 4.30%), 5/20/55<sup>(5)</sup> | &nbsp;&nbsp;909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;930871 |
| &nbsp;&nbsp;&nbsp;Series 2025-105, Class TM, 8.40%, (21.30% - 30-day SOFR Average x 3.00), 6/20/55<sup>(4)</sup> | &nbsp;&nbsp;979 | &nbsp;&nbsp;&nbsp;&nbsp;1023547 |
| &nbsp;&nbsp;&nbsp;Series 2025-139, Class MT, 7.218%, (30-day SOFR Average + 3.30%), 4/20/55<sup>(5)</sup> | &nbsp;&nbsp;841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;858267 |
| &nbsp;&nbsp;&nbsp;Series 2025-174, Class TC, 7.60%, (26.40% - 30-day SOFR Average x 4.00), 10/20/55<sup>(4)</sup> | &nbsp;&nbsp;997 | &nbsp;&nbsp;&nbsp;&nbsp;1034945 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Government National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2025-174, Class TH, 7.50%, (36.00% - 30-day SOFR Average x 6.00), 9/20/55<sup>(4)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;992 | $1022618 |
| &nbsp;&nbsp;&nbsp;Series 2025-205, Class SP, 8.064%, (29.98% - 30-day SOFR Average x 5.50), 11/20/55<sup>(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp; 1106363 |
| JP Morgan Mortgage Trust, Series 2025-NQM2, Class M1B, 6.902%, 9/25/65<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;583 | &nbsp;&nbsp; 593327 |
| Mello Warehouse Securitization Trust, Series 2025-1, Class F, 10.232%, (1 mo. SOFR + 6.50%), 5/25/59<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp; 1024388 |
| New Residential Mortgage Loan Trust, Series 2021-NQM2R, Class M1, 2.201%, 10/25/58<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | &nbsp;&nbsp; 120008 |
| PNMAC GMSR Issuer Trust, Series 2025-GT1, Class A, 6.182%, (1 mo. SOFR + 2.45%), 8/26/30<sup>(1)(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp; 1004490 |
| PRPM Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-NQM2, Class B2, 6.892%, 8/25/68<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp; 1608608 |
| &nbsp;&nbsp;&nbsp;Series 2024-NQM4, Class B1, 7.595%, 12/26/69<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1440 | &nbsp;&nbsp;&nbsp;&nbsp;1481756 |
| &nbsp;&nbsp;&nbsp;Series 2025-NQM2, Class M1B, 7.077%, 4/25/70<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;1021675 |
| Total Collateralized Mortgage Obligations<br> (identified cost $70,047,525) |  | **$72460779** |

---

---

| | | |
|:---|:---|:---|
| Government National Mortgage Association Participation Agreements — 5.2% | Government National Mortgage Association Participation Agreements — 5.2% | Government National Mortgage Association Participation Agreements — 5.2% |
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Government National Mortgage Association Participation Agreements: |  |  |
| &nbsp;&nbsp;&nbsp;5.425%, 1/1/59<sup>(9)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3763 | $3773475 |
| &nbsp;&nbsp;&nbsp;8.02%, 9/10/27<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1789 | &nbsp;&nbsp; 1787441 |
| Total Government National Mortgage Association Participation Agreements<br> (identified cost $5,552,239) |  | **$5560916** |

---

U.S. Government Agency Mortgage-Backed Securities — 65.5%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, 1/1/55 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1129 | $1162406 |
| &nbsp;&nbsp;&nbsp;6.50%, 3/1/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp; 168646 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575 | &nbsp;&nbsp; 587439 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;630 | &nbsp;&nbsp; 653697 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;864 | &nbsp;&nbsp; 910037 |
| &nbsp;&nbsp;&nbsp;7.00%, 6/1/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 | &nbsp;&nbsp; 105902 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 30-Year, TBA<sup>(10)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11080 | &nbsp;&nbsp;&nbsp;&nbsp;9958592 |
| &nbsp;&nbsp;&nbsp;4.00%, 5/20/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145115 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340427 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6306 | &nbsp;&nbsp;&nbsp;&nbsp;6355363 |

---

------

Calvert

Mortgage Access Fund

December 31, 2025

Schedule of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | **Value** |
| Government National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2062 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3485 | $3572414 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6861 | &nbsp;&nbsp; 7135802 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6242 | &nbsp;&nbsp; 6535198 |
| &nbsp;&nbsp;&nbsp;7.00%, with various maturities to 2062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4345 | &nbsp;&nbsp; 4541058 |
| &nbsp;&nbsp;&nbsp;7.50%, 6/20/64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241 | &nbsp;&nbsp; 249420 |
| Government National Mortgage Association II: |  |  |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;918 | &nbsp;&nbsp; 950571 |
| &nbsp;&nbsp;&nbsp;6.50%, 7/20/53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;573 | &nbsp;&nbsp; 601689 |
| Uniform Mortgage-Backed Security: |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 30-Year, TBA<sup>(10)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7780 | &nbsp;&nbsp;&nbsp;&nbsp;6877614 |
| &nbsp;&nbsp;&nbsp;5.00%, 30-Year, TBA<sup>(10)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11300 | &nbsp;&nbsp;&nbsp;11273516 |
| &nbsp;&nbsp;&nbsp;5.50%, 30-Year, TBA<sup>(10)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;8100 | &nbsp;&nbsp;&nbsp;&nbsp;8214223 |
| Total U.S. Government Agency Mortgage-Backed Securities<br> (identified cost $69,792,812) |  | **$70339129** |

---

---

| | | |
|:---|:---|:---|
| Short-Term Investments — 3.5% |  |  |
| Affiliated Fund — 1.6% | Affiliated Fund — 1.6% | Affiliated Fund — 1.6% |
| **Security** | **Shares** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 3.69%<sup>(11)</sup> | 1680805 | $1680805 |
| Total Affiliated Fund<br> (identified cost $1,680,805) |  | **$1680805** |
| U.S. Treasury Obligations — 1.9% | U.S. Treasury Obligations — 1.9% | U.S. Treasury Obligations — 1.9% |
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| U.S. Treasury Bills, 0.00%, 4/2/26<sup>(12)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2040 | $2021902 |
| Total U.S. Treasury Obligations<br> (identified cost $2,020,853) |  | **$2021902** |
| Total Short-Term Investments<br> (identified cost $3,701,658) |  | **$3702707** |
| Total Purchased Swaptions — 0.0%<sup>†</sup><br> (identified cost $18,000) |  | **$4516** |
| Total Investments — 142.6%<br> (identified cost $150,029,506) |  | **$153002478** |

---

---

| | | |
|:---|:---|:---|
| TBA Sale Commitments — (15.8)% | TBA Sale Commitments — (15.8)% | TBA Sale Commitments — (15.8)% |
| U.S. Government Agency Mortgage-Backed Securities — (15.8)% | U.S. Government Agency Mortgage-Backed Securities — (15.8)% | U.S. Government Agency Mortgage-Backed Securities — (15.8)% |
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 30-Year, TBA<sup>(10)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;(7780) | $(6995301) |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| Government National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;3.00%, 30-Year, TBA<sup>(10)</sup> | $(7780) | $(6986183) |
| &nbsp;&nbsp;&nbsp;3.00%, 30-Year, TBA<sup>(10)</sup> | (3300) | &nbsp;&nbsp;&nbsp; (2960713) |
| Total U.S. Government Agency Mortgage-Backed Securities (proceeds $16,985,902) |  | **$(16942197)** |
| Total TBA Sale Commitments<br> (proceeds $16,985,902) |  | **$(16942197)** |
| Other Assets, Less Liabilities — (26.8)% |  | **$(28758730)** |
| Net Assets — 100.0% |  | **$107301551** |

---

---

| | |
|:---|:---|
| The percentage shown for each investment category in the Schedule of Investments is based on net assets. | The percentage shown for each investment category in the Schedule of Investments is based on net assets. |
| <sup>†</sup> | Amount is less than 0.05% or (0.05)%, as applicable. |
| <sup>(1)</sup> | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At December 31, 2025, the aggregate value of these securities is $30,452,736 or 28.4% of the Fund's net assets. |
| <sup>(2)</sup> | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at December 31, 2025. |
| <sup>(3)</sup> | Step coupon security. Interest rate represents the rate in effect at<br> December 31, 2025. |
| <sup>(4)</sup> | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at December 31, 2025. |
| <sup>(5)</sup> | Variable rate security. The stated interest rate represents the rate in effect at December 31, 2025. |
| <sup>(6)</sup> | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
| <sup>(7)</sup> | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
| <sup>(8)</sup> | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
| <sup>(9)</sup> | Represents a participation interest, through a participation agreement with a financial institution, in mortgage loans guaranteed by Government National Mortgage Association. |
| <sup>(10)</sup> | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount, which is not expected to differ significantly from the commitment amount, and maturity date are determined upon settlement. |
| <sup>(11)</sup> | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of December 31, 2025. |
| <sup>(12)</sup> | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |

---

------

Calvert

Mortgage Access Fund

December 31, 2025

Schedule of Investments (Unaudited) — continued

------

#### Purchased Swaptions (OTC) — 0.0%<sup>†</sup>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | &nbsp;&nbsp;&nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Value** |
| &nbsp;&nbsp;Option to enter into interest rate swap expiring 5/6/28 to pay 3.64% and receive SOFR | &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;7000000 | &nbsp;&nbsp;&nbsp;&nbsp;5/4/26 | &nbsp;&nbsp;&nbsp;&nbsp;$4516 |
| &nbsp;&nbsp;**Total** |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$4516** |

---

---

| | |
|:---|:---|
| <sup>†</sup> | Amount is less than (0.05)%. |

---

#### Futures Contracts

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | &nbsp;&nbsp;&nbsp;&nbsp;**Number of<br> Contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Position** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/<br> Unrealized<br> Appreciation<br> (Depreciation)** |
| **Interest Rate Futures** |  |  |  |  |  |
| U.S. 5-Year Treasury Note | &nbsp;&nbsp;&nbsp;&nbsp;459 | &nbsp;&nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;&nbsp;&nbsp;3/31/26 | &nbsp;&nbsp;&nbsp;&nbsp;$50170852 | &nbsp;&nbsp;&nbsp;&nbsp;$(211922) |
| U.S. Ultra-Long Treasury Bond | &nbsp;&nbsp;&nbsp;&nbsp;(26) | &nbsp;&nbsp;&nbsp;&nbsp;Short | &nbsp;&nbsp;&nbsp;&nbsp;3/20/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3068000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74695 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$(137227)** |

---

#### Credit Default Swaps - Sell Protection (OTC)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Notional<br> Amount<sup>(1)</sup><br> (000's omitted)** | &nbsp;&nbsp;**Contract Annual<br> Fixed Rate<sup>(2)</sup>** | &nbsp;&nbsp;**Current<br> Market<br> Annual<br> Fixed Rate<sup>(3)</sup>** | &nbsp;&nbsp;**Termination<br> Date** | &nbsp;&nbsp;**Value** | &nbsp;&nbsp;**Unamortized<br> Upfront<br> Receipts<br> (Payments)** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** |
| U.S. Land Banking | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;$2000 | &nbsp;&nbsp;5.50%<br> (pays monthly) | &nbsp;&nbsp;5.42% | &nbsp;&nbsp;10/10/29 | &nbsp;&nbsp;$15000 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$15000 |
| **Total** |  | &nbsp;&nbsp;**$2000** |  |  |  | &nbsp;&nbsp;**$15000** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$15000** |

---

<sup>(1)</sup> If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At December 31, 2025, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $2,000,000.

<sup>(2)</sup> The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller of protection) or paid by the Fund (as a buyer of protection) on the notional amount of the credit default swap contract.

<sup>(3)</sup> Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market's perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as "Defaulted" indicates a credit event has occurred for the reference entity.

---

| | |
|:---|:---|
| **Abbreviations:** | **Abbreviations:** |
| OTC | – Over-the-counter |
| SOFR | – Secured Overnight Financing Rate |
| STACR | – Structured Agency Credit Risk |
| TBA | – To Be Announced |

---

---

| | |
|:---|:---|
| **Currency Abbreviations:** | **Currency Abbreviations:** |
| USD | – United States Dollar |

---

At December 31, 2025, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

------

Calvert

Mortgage Access Fund

December 31, 2025

Schedule of Investments (Unaudited) — continued

------

In the normal course of pursuing its investment objective, the Fund is subject to the following risks:

Credit Risk: During the fiscal year to date ended December 31, 2025, the Fund entered into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.

Interest Rate Risk: During the fiscal year to date ended December 31, 2025, the Fund entered into futures contracts and swaptions to hedge interest rate risk and to manage duration.

Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of December 31, 2025 were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;**Trade<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Maturity<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Interest<br> Rate Paid<br> (Received)** | &nbsp;&nbsp;&nbsp;&nbsp;**Principal<br> Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value<br> Including<br> Accrued<br> Interest** |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;12/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3.83% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2435533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2440716 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;12/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;On Demand<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3.88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1760025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1763818 |
| &nbsp;&nbsp;TD Securities (USA), LLC | &nbsp;&nbsp;&nbsp;&nbsp;12/11/25 | &nbsp;&nbsp;&nbsp;&nbsp;1/14/26 | &nbsp;&nbsp;&nbsp;&nbsp;3.88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1002239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1004399 |
| &nbsp;&nbsp;MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;12/29/25 | &nbsp;&nbsp;&nbsp;&nbsp;1/6/26 | &nbsp;&nbsp;&nbsp;&nbsp;4.30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5444361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5445661 |
| &nbsp;&nbsp;**Total Investments** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$10642158** | &nbsp;&nbsp;&nbsp;&nbsp;**$10654594** |

---

<sup>(1)</sup> Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

At December 31, 2025, the remaining contractual maturity of all open reverse repurchase agreements was less than 30 days.

At December 31, 2025, the underlying collateral for all open reverse repurchase agreements was comprised of Collateralized Mortgage Obligations and U.S. Government Agency Mortgage-Backed securities having an aggregate market value of $11,707,529.

Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at December 31, 2025. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy at December 31, 2025.

Affiliated Investments

At December 31, 2025, the value of the Fund's investment in funds that may be deemed to be affiliated was $1,680,805, which represents 1.6% of the Fund's net assets. Transactions in such investments by the Fund for the fiscal year to date ended December 31, 2025 were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Name** | **Value,<br> beginning<br> of period** | **Purchases** | **Sales<br> proceeds** | **Net<br> realized<br> gain<br> (loss)** | **Change in<br> unrealized<br> appreciation<br> (depreciation)** | **Value,<br> end of<br> period** | **Dividend<br> income** | **Shares,<br> end of<br> period** |
| **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** |  |  |  |  |  |  |
| Liquidity Fund, Institutional Class<sup>(1)</sup> | $3081710 | $27751858 | $(29152763) | $— | $— | $1680805 | $25472 | 1680805 |

---

<sup>(1)</sup> Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio.

Fair Value Measurements

U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 - quoted prices in active markets for identical securities

Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

------

Calvert

Mortgage Access Fund

December 31, 2025

Schedule of Investments (Unaudited) — continued

------

The following table summarizes the market value of the Fund's holdings as of December 31, 2025, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Description** | &nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;**Total** |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$934431 | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$934431 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72460779 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72460779 |
| Government National Mortgage Association Participation Agreements | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5560916 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5560916 |
| U.S. Government Agency Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70339129 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70339129 |
| Short-Term Investments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Affiliated Fund | &nbsp;&nbsp;&nbsp;&nbsp;1680805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1680805 |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2021902 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2021902 |
| Purchased Swaptions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4516 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4516 |
| **Total Investments** | &nbsp;&nbsp;**$1680805** | &nbsp;&nbsp;**$151321673** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$153002478** |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;$74695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$74695 |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 |
| **Total** | &nbsp;&nbsp;**$1755500** | &nbsp;&nbsp;**$151336673** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$153092173** |
| **Liability Description** |  |  |  |  |
| TBA Sale Commitments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$(16942197) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(16942197) |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(211922) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(211922) |
| **Total** | &nbsp;&nbsp;**$(211922)** | &nbsp;&nbsp;**$(16942197)** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$(17154119)** |

---

**Investment Valuation - Derivatives. Swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Swaps are categorized as Level 2 in the hierarchy.**

**Credit Default Swaps - Swap contracts are privately negotiated agreements between the Fund and a counterparty. Certain swap contracts may be centrally cleared ("centrally cleared swaps"), whereby all payments made or received by the Fund pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. When the Fund is the buyer of a credit default swap contract, the Fund is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund would have spent the stream of payments and received no proceeds from the contract. When the Fund is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments and receipts, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments or receipts for non-centrally cleared swaps are recorded as other assets or other liabilities, respectively, net of amortization. Upon entering into centrally cleared swaps, the Fund is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.**

For additional information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent annual or semi-annual financial statements.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Calvert Fund

- **b. Investment Company Act file number:** 811-03416

- **c. CIK number of Registrant:** 0000701039

- **d. LEI of Registrant:** 549300SAFDT1VZ80RP53

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

  - **Street Address 1:** 2050 M Street NW

  - **City:** Washington

  - **State:** DC

  - **Foreign country:** US

  - **Zip / Postal Code:** 20036

  - **Telephone number:** 202-238-2200

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

- **a. Name of Series:** Calvert Mortgage Access Fund

- **b. EDGAR series identifier (if any):** S000076002

- **c. LEI of Series:** 549300O2JSVSVL35QD76

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

- **a. Date of fiscal year-end:** 2026-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $172690337.98

**Total Liabilities:** $65920130.83

**Net Assets:** $106770207.15

**Delayed Delivery Securities:** $37687136.25

**Cash Not Reported:** $628179.32

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -5.86000000 | **1-Year:** -174.10000000 | **5-Year:** -542.48000000 | **10-Year:** -1711.55000000 | **30-Year:** -989.54000000

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

- **3-Month:** -18.88000000 | **1-Year:** -660.11000000 | **5-Year:** -1932.20000000 | **10-Year:** -3856.29000000 | **30-Year:** -11901.57000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000235421 | 0.61%                | 1.01%                | 0.21%                |
| Class ID C000235422 | 0.59%                | 1.09%                | 0.09%                |
| Class ID C000235423 | 0.52%                | 0.93%                | 0.12%                |
| Class ID C000235424 | 0.61%                | 1.11%                | 0.11%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-153454.52              | $307586.26                                 |
| Month 2  | $21405.88                | $352033.95                                 |
| Month 3  | $-22185.94               | $-237299.49                                |

**Designated Index Information**

- **Index Name:** BB US MBS

- **Index Identifier:** LEH_MBS

### Schedule of Portfolio Investments

| Name                                      | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6180000 | PA      | $5463988.91   | 5.12%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1413624.96   | 1.32%             | 2056-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11300000 | PA      | $11273515.63  | 10.56%            | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                 | Uniform Mortgage-Backed Security, TBA                                        | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8100000 | PA      | $8214222.56   | 7.69%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                  | Angel Oak Mortgage Trust 2021-5                                              | CUSIP: 03465HAB0<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |     48617 | PA      | $43202.22     | 0.04%             | 2066-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2021-NQM3                                    | CUSIP: 105690AC5<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     68568 | PA      | $65402.77     | 0.06%             | 2060-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2021-NQM1                                    | CUSIP: 10569TAC2<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     46545 | PA      | $44068.26     | 0.04%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust           | BRAVO Residential Funding Trust 2024-NQM1                                    | CUSIP: 10570FAE5<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |    112000 | PA      | $114098.56    | 0.11%             | 2063-12-01      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2023-1                                                  | CUSIP: 12547QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129999 | PA      | $129983.16    | 0.12%             | 2058-03-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-NQM1                                               | CUSIP: 12569CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60681 | PA      | $60652.22     | 0.06%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2022-NQM1                                               | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $499775.20    | 0.47%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                      | CHNGE Mortgage Trust 2023-4                                                  | CUSIP: 12569QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377162 | PA      | $383285.03    | 0.36%             | 2058-09-25      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                    | Cascade MH Asset Trust 2022-MH1                                              | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    801009 | PA      | $785052.95    | 0.74%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-1                                                          | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1137956 | PA      | $1173887.98   | 1.10%             | 2059-07-25      | Variable      | 8.46%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2024-2                                                          | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187198 | PA      | $1229412.45   | 1.15%             | 2059-11-25      | Variable      | 9.60%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | CHAMPS TRUST 2024-3                                                          | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1455370 | PA      | $1512137.16   | 1.42%             | 2060-01-25      | Variable      | 8.46%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2025-2                                                          | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2019992 | PA      | $2098804.27   | 1.97%             | 2060-10-25      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| Champs Trust                              | Champs Trust 2025-1                                                          | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1708880 | PA      | $1779001.25   | 1.67%             | 2060-04-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                     | CUSIP: 20753AAA2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $527318.50    | 0.49%             | 2043-04-25      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                          | Fannie Mae Connecticut Avenue Securities                                     | CUSIP: 20754JAC8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    177811 | PA      | $181139.11    | 0.17%             | 2039-09-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7780000 | PA      | $6995300.64   | 6.55%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -7780000 | PA      | $-6995300.64  | -6.55%            | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3300000 | PA      | $2963291.10   | 2.78%             | 2056-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -7780000 | PA      | $-6986183.26  | -6.54%            | 2056-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae                                                                   | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3300000 | PA      | $-2960712.81  | -2.77%            | 2056-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                      | Cross 2024-H2 Mortgage Trust                                                 | CUSIP: 22757BAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $476944.25    | 0.45%             | 2069-04-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2022-1 Mortgage Trust                                                   | CUSIP: 30328CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2010897 | PA      | $1537147.28   | 1.44%             | 2052-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2024-1 Mortgage Trust                                                   | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848332 | PA      | $763666.13    | 0.72%             | 2053-10-01      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2023-1 Mortgage Trust                                                   | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890928 | PA      | $681109.76    | 0.64%             | 2052-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2025-2 Mortgage Trust                                                   | CUSIP: 30768BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $441018.60    | 0.41%             | 2055-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 2025-1 Mortgage Trust                                                   | CUSIP: 30768CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1157485 | PA      | $1035800.94   | 0.97%             | 2055-08-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real Estate Trust | FARM 21-1 Mortgage Trust                                                     | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1481283 | PA      | $1163910.40   | 1.09%             | 2051-07-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                             | CUSIP: 3133BW5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159794 | PA      | $168645.73    | 0.16%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                            | CUSIP: 3136BPM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $519204.60    | 0.49%             | 2053-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae REMICS                                                            | CUSIP: 3136BUJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081804 | PA      | $1144947.89   | 1.07%             | 2055-01-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                           | CUSIP: 3137HHWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122506 | PA      | $1183139.92   | 1.11%             | 2055-01-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                           | CUSIP: 3137HJG92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431558 | PA      | $486127.16    | 0.46%             | 2055-02-25      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac REMICS                                                           | CUSIP: 3137HJH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    824494 | PA      | $923085.60    | 0.86%             | 2055-02-25      | Floating      | 9.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140ARS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492425 | PA      | $503064.31    | 0.47%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82490 | PA      | $84375.27     | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NAP98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241233 | PA      | $249754.85    | 0.23%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NMHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388839 | PA      | $403942.52    | 0.38%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NNS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99218 | PA      | $105901.70    | 0.10%             | 2053-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NQQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376778 | PA      | $396914.79    | 0.37%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                | Fannie Mae Pool                                                              | CUSIP: 3140NQVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486946 | PA      | $513122.30    | 0.48%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                               | Freddie Mac Pool                                                             | CUSIP: 31425XXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129133 | PA      | $1162405.74   | 1.09%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2023-HQA2                                      | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $774936.00    | 0.73%             | 2043-06-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2022-HQA2                                      | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $523703.30    | 0.49%             | 2042-07-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-HQA1                                      | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $2621256.98   | 2.46%             | 2033-08-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR REMIC Trust 2021-HQA2                                      | CUSIP: 35564KGS2<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1551287.14   | 1.45%             | 2033-12-25      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                       | Freddie Mac STACR Trust 2019-HQA3                                            | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $280613.93    | 0.26%             | 2049-09-25      | Floating      | 11.49%                | No            |                  2 | On Loan: No      |
| GCAT                                      | GCAT 2023-NQM2 Trust                                                         | CUSIP: 36169DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308014 | PA      | $308145.46    | 0.29%             | 2067-11-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F0X48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79458 | PA      | $80228.67     | 0.08%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F2PK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407871 | PA      | $410533.95    | 0.38%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae I Pool                                                            | CUSIP: 3617F2VE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478563 | PA      | $488379.22    | 0.46%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F9V33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66432 | PA      | $67114.73     | 0.06%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617F9V41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82399 | PA      | $82963.05     | 0.08%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FEEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453177 | PA      | $457835.32    | 0.43%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FGQJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237851 | PA      | $239582.31    | 0.22%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FLP33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478203 | PA      | $491563.24    | 0.46%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375437 | PA      | $394564.64    | 0.37%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139096 | PA      | $146223.25    | 0.14%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277494 | PA      | $291544.19    | 0.27%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMCQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363206 | PA      | $376602.11    | 0.35%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FMVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206697 | PA      | $208821.90    | 0.20%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206165 | PA      | $207704.38    | 0.19%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FTMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192731 | PA      | $194531.41    | 0.18%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214182 | PA      | $219042.06    | 0.21%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FV5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64060 | PA      | $65053.05     | 0.06%             | 2062-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FXLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857380 | PA      | $881333.96    | 0.83%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193298 | PA      | $197698.72    | 0.19%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509119 | PA      | $512443.50    | 0.48%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1338717 | PA      | $1347458.16   | 1.26%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418149 | PA      | $427636.11    | 0.40%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617FYPE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473217 | PA      | $492297.72    | 0.46%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617UBU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188422 | PA      | $189829.27    | 0.18%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617W1W63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236275 | PA      | $232028.44    | 0.22%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617W1W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201476 | PA      | $202602.82    | 0.19%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    367910 | PA      | $370657.36    | 0.35%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    566473 | PA      | $570703.15    | 0.53%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XRDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110313 | PA      | $108398.81    | 0.10%             | 2052-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617XRGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95050 | PA      | $95492.60     | 0.09%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617Y6B89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179292 | PA      | $181135.28    | 0.17%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YTXT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568500 | PA      | $573277.57    | 0.54%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YTXU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238591 | PA      | $245569.66    | 0.23%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YWB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153114 | PA      | $145114.92    | 0.14%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3617YXQV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358762 | PA      | $362449.44    | 0.34%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159029 | PA      | $163282.85    | 0.15%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409474 | PA      | $429439.09    | 0.40%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186997 | PA      | $191999.05    | 0.18%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AE3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197278 | PA      | $204981.19    | 0.19%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148952 | PA      | $152331.83    | 0.14%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236194 | PA      | $245643.96    | 0.23%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AFV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80716 | PA      | $83867.89     | 0.08%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AFV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136623 | PA      | $141958.54    | 0.13%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AFWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128149 | PA      | $133153.00    | 0.12%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AGCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276300 | PA      | $287089.06    | 0.27%             | 2063-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AGXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212627 | PA      | $222391.78    | 0.21%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AGXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209636 | PA      | $220185.00    | 0.21%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47783 | PA      | $48523.60     | 0.05%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45571 | PA      | $47364.30     | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618ATRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277364 | PA      | $289258.71    | 0.27%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AUEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46562 | PA      | $48394.50     | 0.05%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179259 | PA      | $187304.42    | 0.18%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196194 | PA      | $210292.45    | 0.20%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618AWZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486173 | PA      | $503497.18    | 0.47%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B3DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195690 | PA      | $206022.36    | 0.19%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B3DQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71566 | PA      | $75323.38     | 0.07%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B7SX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98465 | PA      | $102310.07    | 0.10%             | 2063-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618B7SY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62532 | PA      | $65287.41     | 0.06%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BCJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416827 | PA      | $436099.56    | 0.41%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BCZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484733 | PA      | $501338.94    | 0.47%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205861 | PA      | $213903.99    | 0.20%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449692 | PA      | $466277.82    | 0.44%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313928 | PA      | $328345.09    | 0.31%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242445 | PA      | $250856.79    | 0.23%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211508 | PA      | $222609.57    | 0.21%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BDKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243610 | PA      | $254873.66    | 0.24%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BKME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65129 | PA      | $68426.79     | 0.06%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BKMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431691 | PA      | $447073.59    | 0.42%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BKMQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573386 | PA      | $601689.51    | 0.56%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BVGL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445274 | PA      | $466539.34    | 0.44%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BVGM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482492 | PA      | $506459.49    | 0.47%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BVQF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443527 | PA      | $465558.57    | 0.44%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BWMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389717 | PA      | $406904.73    | 0.38%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618BWMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181174 | PA      | $189164.29    | 0.18%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F22X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415182 | PA      | $434257.76    | 0.41%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F2J97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196997 | PA      | $211898.96    | 0.20%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F3TL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529971 | PA      | $556639.94    | 0.52%             | 2053-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F5VL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364240 | PA      | $380303.52    | 0.36%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618F6XF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449025 | PA      | $469655.28    | 0.44%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406662 | PA      | $423813.19    | 0.40%             | 2054-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGD43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489337 | PA      | $512738.18    | 0.48%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGDR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244391 | PA      | $254697.57    | 0.24%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618FGDS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244970 | PA      | $255383.87    | 0.24%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618GRYQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594222 | PA      | $619482.27    | 0.58%             | 2054-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618GRZZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997942 | PA      | $1035685.54   | 0.97%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618H9TF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491177 | PA      | $507604.88    | 0.48%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618H9TG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435307 | PA      | $456114.56    | 0.43%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618HS5R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240791 | PA      | $249419.71    | 0.23%             | 2064-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618J8GT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    985263 | PA      | $1015752.57   | 0.95%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618J8GU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493046 | PA      | $513686.19    | 0.48%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618J8GV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246991 | PA      | $258493.31    | 0.24%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Ginnie Mae II Pool                                                           | CUSIP: 3618LRH48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597855 | PA      | $626992.68    | 0.59%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38381NAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    979122 | PA      | $1023547.50   | 0.96%             | 2055-06-20      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38381QYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841330 | PA      | $858267.08    | 0.80%             | 2055-04-20      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512114 | PA      | $88947.43     | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997275 | PA      | $1034945.31   | 0.97%             | 2055-10-20      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383BN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992382 | PA      | $1022617.58   | 0.96%             | 2055-09-20      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383HMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747415 | PA      | $34594.63     | 0.03%             | 2053-01-20      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187317 | PA      | $212211.51    | 0.20%             | 2052-11-20      | Floating      | 8.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383LGB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129979 | PA      | $135788.81    | 0.13%             | 2052-11-20      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652118 | PA      | $9489.95      | 0.01%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161365 | PA      | $177943.51    | 0.17%             | 2052-10-20      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383U7L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663130 | PA      | $696756.63    | 0.65%             | 2052-10-20      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383V2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514833 | PA      | $32309.78     | 0.03%             | 2053-02-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383VVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507093 | PA      | $32449.39     | 0.03%             | 2053-02-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507093 | PA      | $31610.13     | 0.03%             | 2053-02-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014187 | PA      | $36151.20     | 0.03%             | 2053-02-20      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508573 | PA      | $31201.49     | 0.03%             | 2053-03-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254284 | PA      | $15405.22     | 0.01%             | 2053-03-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38383WN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178001 | PA      | $10920.52     | 0.01%             | 2053-03-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384AGR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382427 | PA      | $419167.58    | 0.39%             | 2053-05-20      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384B2C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $782391.60    | 0.73%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384B4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2085967.60   | 1.95%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384B4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $521221.45    | 0.49%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BLX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765774 | PA      | $92771.47     | 0.09%             | 2053-06-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BS69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1043174.20   | 0.98%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $260718.95    | 0.24%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202403 | PA      | $218371.95    | 0.20%             | 2053-07-20      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384BY62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650000 | PA      | $677813.24    | 0.63%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384D3W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1563898.95   | 1.46%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384D7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1053588.80   | 0.99%             | 2053-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384D7J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1035623.85   | 0.97%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384DFS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255004 | PA      | $284956.95    | 0.27%             | 2053-10-20      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384E8K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163143 | PA      | $191947.08    | 0.18%             | 2053-10-20      | Floating      | 12.33%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384ELZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385501 | PA      | $432431.92    | 0.41%             | 2053-09-20      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384GBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1563907.95   | 1.46%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384GQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $520666.50    | 0.49%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384H5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $521057.00    | 0.49%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384KQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1043014.20   | 0.98%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384MG68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2086536.00   | 1.95%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384MLP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742472 | PA      | $115945.79    | 0.11%             | 2064-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384NMW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010261 | PA      | $865969.24    | 0.81%             | 2053-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384UBB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544243 | PA      | $568020.01    | 0.53%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384WJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2142000 | PA      | $2188369.12   | 2.05%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38384XWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600479 | PA      | $1670729.86   | 1.56%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385BEX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584087 | PA      | $617746.39    | 0.58%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385BNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528204 | PA      | $531745.50    | 0.50%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385CDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733046 | PA      | $777919.04    | 0.73%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385E2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680238 | PA      | $698764.93    | 0.65%             | 2055-04-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EJ21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144914 | PA      | $1185813.45   | 1.11%             | 2055-03-20      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385ENX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520780 | PA      | $528692.34    | 0.50%             | 2065-03-20      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    638983 | PA      | $660231.29    | 0.62%             | 2055-04-20      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525769 | PA      | $538890.27    | 0.50%             | 2055-03-20      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385EQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564824 | PA      | $585001.30    | 0.55%             | 2055-03-20      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385F3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965852 | PA      | $998492.73    | 0.94%             | 2055-05-20      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385FCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680238 | PA      | $709503.67    | 0.66%             | 2055-04-20      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385FNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573827 | PA      | $592836.95    | 0.56%             | 2055-04-20      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385GQB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908867 | PA      | $929677.35    | 0.87%             | 2055-04-20      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385GYJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908867 | PA      | $930871.06    | 0.87%             | 2055-05-20      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association  | Government National Mortgage Association                                     | CUSIP: 38385K5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1106363.10   | 1.04%             | 2055-11-20      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                  | JP Morgan Mortgage Trust Series 2025-NQM2                                    | CUSIP: 46590SAG2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    583333 | PA      | $593327.13    | 0.56%             | 2065-09-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                  | Morgan Stanley Institutional Liquidity Funds - Government Portfolio          | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   1680805 | NS      | $1680804.68   | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Mello Warehouse Securitization Trust      | Mello Warehouse Securitization Trust 2025-1                                  | CUSIP: 58550CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1024388.40   | 0.96%             | 2059-05-25      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes    | NRM FNT1 Excess LLC                                                          | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    917272 | PA      | $934430.57    | 0.88%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust       | New Residential Mortgage Loan Trust 2021-NQM2R                               | CUSIP: 64831EAD2<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $120007.85    | 0.11%             | 2058-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FDG AMERS LLC            | NOMURA CORPORATE FDG AMERS LLC                                               | CUSIP: 65538RAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3763314 | PA      | $3773474.72   | 3.53%             | 2059-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                   | PNMAC GMSR ISSUER TRUST 2025-GT1                                             | CUSIP: 69354WAK2<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004489.90   | 0.94%             | 2030-08-26      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust     | PRPM 2024-NQM4 Trust                                                         | CUSIP: 69381UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1440000 | PA      | $1481755.68   | 1.39%             | 2069-12-26      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust     | PRPM 2025-NQM2 Trust                                                         | CUSIP: 693983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1021674.80   | 0.96%             | 2070-04-25      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust     | PRPM 2023-NQM2 Trust                                                         | CUSIP: 74390KAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1608607.52   | 1.51%             | 2068-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 23 96 REPO                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |   -754296 | PA      | $-754296.23   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNMA 23 99A REPO                                                         | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1005728 | PA      | $-1005728.30  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | RRP GNR 23 165 REPO                                                          | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1002239 | PA      | $-1002239.01  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 23 173 REPO                                                          | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1483606 | PA      | $-1483606.12  | -1.39%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                    | U.S. Treasury Bills                                                          | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2040000 | PA      | $2021902.24   | 1.89%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | RRP GNMA2 30YR REPO                                                          | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1305409 | PA      | $-1305409.21  | -1.22%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR CASH/RRP REPO                                                        | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1980118 | PA      | $-1980117.68  | -1.85%            |  |  |  | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                  | RRP GNR 24 59 REPO                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -1980637 | PA      | $-1980636.95  | -1.86%            |  |  |  | No            |                  2 | On Loan: No      |
| TD Securities USA LLC                     | FED HM LN PC POOL REPO                                                       | CUSIP: 000000000<br>LEI: SUVUFHICNZMP2WKHG940 | Short            | RA               | CORP              | US        |  -1130124 | PA      | $-1130124.35  | -1.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Mortgage Trust            | Bank of America Mortgage Trust                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788925 | PA      | $1787441.68   | 1.67%             | 2027-09-10      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                   | Long: BMIFNBTB4 CDS USD R F  5.50000 / Short: BMIFNBTB4 CDS USD P V 01MEVENT | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | US        |   2000000 | OU      | $5528.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                    | US ULTRA BOND CBT MAR26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -26 | NC      | $74694.88     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                    | US 5YR NOTE (CBT) MAR26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       459 | NC      | $-211921.68   | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International               | BMIF9XF27 EATON VANCE                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        |   7000000 | NC      | $4515.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-29

**Name of Applicant:** Calvert Fund

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer