# EDGAR Filing Document

**Accession Number:** 0000701939
**File Stem:** 0002048251-26-002514
**Filing Date:** 2026-3
**Character Count:** 178405
**Document Hash:** 63bc6460bb3bb5b68fe4de3c9e2f3bc4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-26-002514.hdr.sgml**: 20260331

**ACCESSION NUMBER**: 0002048251-26-002514

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260331

**DATE AS OF CHANGE**: 20260331

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI DAILY INCOME TRUST /MA/
- **CENTRAL INDEX KEY:** 0000701939

**ORGANIZATION NAME:**
- **EIN:** 236756825
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03451
- **FILM NUMBER:** 26818784

**BUSINESS ADDRESS:**
- **STREET 1:** 2 OLIVER ST
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 8003425734

**MAIL ADDRESS:**
- **STREET 1:** ONE FREEDOM VALLEY DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SEI CASH & PLUS TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUSTFUNDS CASH & PLUS TRUST
- **DATE OF NAME CHANGE:** 19890123

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CASH PLUS TRUST
- **DATE OF NAME CHANGE:** 19860827

## Series and Classes Contracts Data

### SDIT SHORT DURATION GOVERNMENT FUND (Series ID: S000008267)

| Class ID   | Class Name                                                                            | Ticker Symbol   |
|:---|:---|:---|
| C000022552 | SDIT SHORT DURATION GOVERNMENT FUND - CLASS F, effective 1-31-2017 (formerly Class A) | TCSGX           |
| C000147419 | Class Y                                                                               | SDGFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI DAILY INCOME TRUST

- **b. Investment Company Act file number:** 811-03451

- **c. CIK number of Registrant:** 0000701939

- **d. LEI of Registrant:** LTKY0J47NCTZPKTU4C46

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

  - **Street Address 1:** 2 OLIVER STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

- **a. Name of Series:** SDIT Short Duration Government Fund

- **b. EDGAR series identifier (if any):** S000008267

- **c. LEI of Series:** 549300NRAJ39MCMGSN10

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2026-01-31

**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:** $669772443.92

**Total Liabilities:** $76908831.98

**Net Assets:** $592863611.94

**Cash Not Reported:** $98539.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1836.96443560 | **1-Year:** -27095.76947373 | **5-Year:** -43837.28384765 | **10-Year:** -18536.81335528 | **30-Year:** 415.64213379

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

- **3-Month:** -712.16708764 | **1-Year:** -7034.87844570 | **5-Year:** -13850.54837595 | **10-Year:** -7458.92710701 | **30-Year:** -274.10733139

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000147419 | 0.28%                | 0.39%                | 0.48%                |
| Class ID C000022552 | 0.27%                | 0.27%                | 0.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-37697.68               | $83124.91                                  |
| Month 2  | $108465.10               | $-401670.03                                |
| Month 3  | $129187.88               | $1742651.66                                |

**Designated Index Information**

- **Index Name:** ICE BofA 1-3 Year US Treasury Index (USD)

- **Index Identifier:** ML1-3YR

### Schedule of Portfolio Investments

| Name                                                    | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K517 A2    | CUSIP: 3137HC2C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6620000 | PA      | $6874322.53   | 1.16%             | 2029-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-99 LI            | CUSIP: 38379XH52<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     57629 | PA      | $155.65       | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2016-71 IN                                   | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    351720 | PA      | $65865.19     | 0.01%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 626826                                        | CUSIP: 36291FLF3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52140 | PA      | $53157.29     | 0.01%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE INTEREST STRIP FNS 437 C8                               | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3265706 | PA      | $490455.96    | 0.08%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)                         | CUSIP: 01F050635<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -6125000 | PA      | $-6114699.28  | -1.03%            | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3788 FA                                     | CUSIP: 3137A5PP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1530039 | PA      | $1527113.13   | 0.26%             | 2041-01-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRIPS FHS 386 C10                                     | CUSIP: 31325YBX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4645523 | PA      | $512433.84    | 0.09%             | 2042-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-144 DG           | CUSIP: 38379EV82<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1786424 | PA      | $1759531.14   | 0.30%             | 2029-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 569569                                        | CUSIP: 36200QW67<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4844 | PA      | $4959.01      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-165 I            | CUSIP: 38379FK73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    472953 | PA      | $72571.52     | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US 10YR NOTE (CBT)MAR26 FINANCIAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -331 | NC      | $-37015109.38 | -6.24%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE INTEREST STRIP FNS 426 C38                              | CUSIP: 31422M2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3917786 | PA      | $490970.10    | 0.08%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2018-55 PA                                   | CUSIP: 3136B2TU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5809410 | PA      | $5790318.99   | 0.98%             | 2047-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                      | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1723647.87   | 0.29%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2021-3 NI                                    | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3821390 | PA      | $572810.77    | 0.10%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES FSPC T-42 A5      | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    144432 | PA      | $155612.17    | 0.03%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5558 EA                                     | CUSIP: 3137HM3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4077228 | PA      | $4082568.31   | 0.69%             | 2052-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K516 A2    | CUSIP: 3137HBPM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  14000000 | PA      | $14572444.60  | 2.46%             | 2029-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-74 HI                                   | CUSIP: 3136BB6V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2025848 | PA      | $350247.36    | 0.06%             | 2050-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K125 X1    | CUSIP: 3137F9ZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  13433604 | PA      | $324754.68    | 0.05%             | 2031-01-25      | Floating      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5243 AV                                     | CUSIP: 3137H84A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3362290 | PA      | $3375582.63   | 0.57%             | 2033-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA2110                                          | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1851430 | PA      | $1808383.28   | 0.31%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-166 DA           | CUSIP: 38378U4C8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    155778 | PA      | $154435.66    | 0.03%             | 2040-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AZ9232                                          | CUSIP: 3140E2HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      5275 | PA      | $5181.63      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2016-3 JI                                    | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2983 | PA      | $19.84        | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS1892                                          | CUSIP: 3140XHC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    127693 | PA      | $124549.78    | 0.02%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 603130                                        | CUSIP: 36200KA72<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3523 | PA      | $3577.37      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5320 CI                                     | CUSIP: 3137HABF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3085345 | PA      | $514906.98    | 0.09%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K737 X1    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  20254140 | PA      | $58593.20     | 0.01%             | 2026-10-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 256255                                          | CUSIP: 31371MTL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       249 | PA      | $257.78       | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3781 YB                                     | CUSIP: 3137A3RV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    797218 | PA      | $789205.03    | 0.13%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4195 AI                                     | CUSIP: 3137B1CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    141337 | PA      | $3015.33      | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4199 QI                                     | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75925 | PA      | $1601.63      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BS8763                                          | CUSIP: 3140LKWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2670000 | PA      | $2711730.66   | 0.46%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-154 X1   | CUSIP: 3137H9UF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  14643161 | PA      | $351741.92    | 0.06%             | 2033-01-25      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-2 MA  | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4935676 | PA      | $4804972.15   | 0.81%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI           | CUSIP: 38380CEN9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    604020 | PA      | $39228.81     | 0.01%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-132 NA           | CUSIP: 38381Y5P5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2092498 | PA      | $1977550.64   | 0.33%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2022-75 B                                    | CUSIP: 3136BPMB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1831657 | PA      | $1859554.09   | 0.31%             | 2047-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 783353                                        | CUSIP: 36241LWN2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    205138 | PA      | $211253.10    | 0.04%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL7363                                          | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    227291 | PA      | $228214.54    | 0.04%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2024-70 FA                                   | CUSIP: 3136BS6G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4022189 | PA      | $4044698.50   | 0.68%             | 2054-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 726114                                        | CUSIP: 3620ACVF8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       723 | PA      | $744.79       | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-72 ID            | CUSIP: 38380WH28<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1946529 | PA      | $365398.99    | 0.06%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2024-41 DA                                   | CUSIP: 3136BSPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   8590066 | PA      | $8680931.38   | 1.46%             | 2051-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-40 PA            | CUSIP: 38379LGE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    237062 | PA      | $233500.83    | 0.04%             | 2044-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SB0683                                         | CUSIP: 3132CWXL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2616597 | PA      | $2590680.63   | 0.44%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-2 AI             | CUSIP: 38380CNU3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    198651 | PA      | $37428.08     | 0.01%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5048 A                                      | CUSIP: 3137F7DE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1374986 | PA      | $1286365.80   | 0.22%             | 2044-06-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2024-127 KE           | CUSIP: 38384USJ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4016612 | PA      | $3843488.22   | 0.65%             | 2044-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-130 FQ                                  | CUSIP: 3136AHF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1015103 | PA      | $1009298.91   | 0.17%             | 2041-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 718864                                        | CUSIP: 3620A4TV4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1278 | PA      | $1300.44      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG G14523                                    | CUSIP: 3128MDG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |        49 | PA      | $49.56        | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-26 JI            | CUSIP: 38376VPU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    936018 | PA      | $182745.66    | 0.03%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 1.125000% 10/31/2026                               | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  27275000 | PA      | $26778296.61  | 4.52%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS8493                                          | CUSIP: 3140XQNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2276858 | PA      | $2360540.15   | 0.40%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE-ACES FNA 2019-M21 X1                                    | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   9616512 | PA      | $301909.43    | 0.05%             | 2029-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4484 CI                                     | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    156767 | PA      | $7618.75      | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-164 CE           | CUSIP: 38378YFG9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1551167 | PA      | $1526663.23   | 0.26%             | 2028-11-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 783379                                        | CUSIP: 36241LXG6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     29086 | PA      | $28238.92     | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4456 BA                                     | CUSIP: 3137BGQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    528884 | PA      | $512610.29    | 0.09%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION TRUST | SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES SLST 2023-1 A12 | CUSIP: 35564CNP8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |  14328181 | PA      | $14164027.74  | 2.39%             | 2033-10-25      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4220 IE                                     | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      8027 | PA      | $45.18        | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE INTEREST STRIP FNS 418 C16                              | CUSIP: 31395Q3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1392855 | PA      | $271494.82    | 0.05%             | 2043-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K107 X1    | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  12028295 | PA      | $645953.11    | 0.11%             | 2030-01-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR ZS8551                                         | CUSIP: 3132A9QC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    437614 | PA      | $433785.51    | 0.07%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5010 IE                                     | CUSIP: 3137FVQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2101099 | PA      | $421354.41    | 0.07%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 745056                                        | CUSIP: 3620C0WR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4103 | PA      | $4153.96      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4223 AL                                     | CUSIP: 3137B3JX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    664405 | PA      | $636728.06    | 0.11%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG J35743                                    | CUSIP: 31307SLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    891951 | PA      | $864198.06    | 0.15%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2025-34 BA                                   | CUSIP: 3136BVC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1878725 | PA      | $1881369.40   | 0.32%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-4 MA  | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3731640 | PA      | $3509362.59   | 0.59%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5263 GA                                     | CUSIP: 3137H95B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3174116 | PA      | $3200374.27   | 0.54%             | 2045-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3148 CF                                     | CUSIP: 31396JZE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     46188 | PA      | $46011.57     | 0.01%             | 2034-02-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-53 BI                                   | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     29904 | PA      | $344.37       | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-42 EI            | CUSIP: 38379V5S9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    599937 | PA      | $68680.61     | 0.01%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-30 AB            | CUSIP: 38378DV51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    210862 | PA      | $209094.89    | 0.04%             | 2027-03-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SD2305                                         | CUSIP: 3132DPR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2370844 | PA      | $2415715.57   | 0.41%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AX9550                                          | CUSIP: 3138YBTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2748 | PA      | $2706.22      | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5018 LW                                     | CUSIP: 3137FXBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1090610 | PA      | $934968.41    | 0.16%             | 2040-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SD3029                                         | CUSIP: 3132DQLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    138602 | PA      | $135333.14    | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2014-50 SC                                   | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    614045 | PA      | $36458.63     | 0.01%             | 2044-08-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-26 IA                                   | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1685704 | PA      | $141846.41    | 0.02%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 474700                                        | CUSIP: 36209LKM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       434 | PA      | $441.34       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 553167                                        | CUSIP: 36213FQU0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12612 | PA      | $12941.35     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG V60836                                    | CUSIP: 3132KE4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    744666 | PA      | $726504.67    | 0.12%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4978 MI                                     | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1428827 | PA      | $212085.33    | 0.04%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE INTEREST STRIP FNS 410 C6                               | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     12421 | PA      | $131.35       | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 GI            | CUSIP: 38378EAS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27889 | PA      | $177.35       | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5538 AV                                     | CUSIP: 3137HKXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7094816 | PA      | $7206617.10   | 1.22%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG A90316                                    | CUSIP: 312938K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    531287 | PA      | $534673.79    | 0.09%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2025-3 BA                                    | CUSIP: 3136BUSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1868347 | PA      | $1894083.18   | 0.32%             | 2052-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BA4768                                          | CUSIP: 3140E9JN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     55932 | PA      | $54894.12     | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4176 KI                                     | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      3341 | PA      | $11.28        | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2019-42 KA                                   | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   6001498 | PA      | $5518134.19   | 0.93%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN CB6484                                          | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4800707 | PA      | $4891141.77   | 0.83%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-140 PA                                  | CUSIP: 3136AAGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2094008 | PA      | $1810634.07   | 0.31%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-3 MV  | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    812005 | PA      | $777205.50    | 0.13%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-167 X1   | CUSIP: 3137HHUJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  15849170 | PA      | $248789.18    | 0.04%             | 2034-10-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM8373                                          | CUSIP: 3140XCJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1372306 | PA      | $1268552.32   | 0.21%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)                         | CUSIP: 01F042632<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        | -13735000 | PA      | $-13439475.95 | -2.27%            | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BZ0044                                          | CUSIP: 3140NUBN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2440000 | PA      | $2515485.72   | 0.42%             | 2028-12-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-55 LB            | CUSIP: 38379BJF6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     79899 | PA      | $77874.18     | 0.01%             | 2040-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 698060                                        | CUSIP: 36296QQM4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7803 | PA      | $8092.05      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BC4869                                          | CUSIP: 3140F0MT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     37153 | PA      | $36254.47     | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF72 A     | CUSIP: 3137FQ3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    138013 | PA      | $137999.52    | 0.02%             | 2026-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-139 KA           | CUSIP: 38379GNX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1062241 | PA      | $1039870.08   | 0.18%             | 2029-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4178 MI                                     | CUSIP: 3137B06E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     45325 | PA      | $756.15       | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 256774                                          | CUSIP: 31371NFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1012 | PA      | $1078.57      | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM8344                                          | CUSIP: 3140XCHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1052999 | PA      | $1020187.41   | 0.17%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 783384                                        | CUSIP: 36241LXM3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    589493 | PA      | $613763.37    | 0.10%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-12 P                                    | CUSIP: 3136ABVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    131002 | PA      | $128832.90    | 0.02%             | 2041-11-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SB1625                                         | CUSIP: 3132CXYW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1139251 | PA      | $1152572.30   | 0.19%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4200 LC                                     | CUSIP: 3137B24T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4171640 | PA      | $3945668.94   | 0.67%             | 2033-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5264 AB                                     | CUSIP: 3137H9BH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    306189 | PA      | $305320.38    | 0.05%             | 2039-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BZ0638                                          | CUSIP: 3140NUV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2595000 | PA      | $2663888.97   | 0.45%             | 2029-04-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-84 TE            | CUSIP: 38375GJB8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    777217 | PA      | $742161.28    | 0.13%             | 2042-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-157 AE           | CUSIP: 38378U2V8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3215672 | PA      | $3172442.22   | 0.54%             | 2028-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4178 BI                                     | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    205705 | PA      | $13601.19     | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3930 AI                                     | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     11271 | PA      | $92.46        | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRIPS FHS 303 C16                                     | CUSIP: 31325UEE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1313814 | PA      | $200827.14    | 0.03%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BT2752                                          | CUSIP: 3140LRBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    241655 | PA      | $224152.06    | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-35 AI                                   | CUSIP: 3136BALN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3164336 | PA      | $501507.43    | 0.08%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2021-86 T                                    | CUSIP: 3136BKYQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1044883 | PA      | $942286.37    | 0.16%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-65 BI                                   | CUSIP: 3136BBTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2109861 | PA      | $398221.47    | 0.07%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2022-22 QH                                   | CUSIP: 3136BMG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4395708 | PA      | $4352971.45   | 0.73%             | 2052-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-17 EI            | CUSIP: 38382CJ51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1420092 | PA      | $299827.71    | 0.05%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA2163                                          | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    594150 | PA      | $562711.66    | 0.09%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2006-76 QF                                   | CUSIP: 31396KBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    120960 | PA      | $120415.12    | 0.02%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-124 BC                                  | CUSIP: 3136A9W61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1054977 | PA      | $1038861.70   | 0.18%             | 2042-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-87 CA            | CUSIP: 38383RYD3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   8364611 | PA      | $7931539.64   | 1.34%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-56 BP            | CUSIP: 38379BCS5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    601850 | PA      | $576569.73    | 0.10%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5413 KV                                     | CUSIP: 3137HCVT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6445198 | PA      | $6640423.49   | 1.12%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR ZN6438                                         | CUSIP: 3131YDEK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    569365 | PA      | $561950.90    | 0.09%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL6818                                          | CUSIP: 3138EPSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    597539 | PA      | $600273.63    | 0.10%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-42 AI                                   | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    526898 | PA      | $26193.51     | 0.00%             | 2055-06-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 KI            | CUSIP: 38380CP80<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    711248 | PA      | $112556.33    | 0.02%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SD2553                                         | CUSIP: 3132DPZS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    503804 | PA      | $490775.41    | 0.08%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 848900                                          | CUSIP: 31408EDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     15468 | PA      | $16242.25     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG G16018                                    | CUSIP: 3128ME4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    780088 | PA      | $764416.83    | 0.13%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-170 X1   | CUSIP: 3137HLJ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7886116 | PA      | $153639.68    | 0.03%             | 2035-02-25      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 682100                                        | CUSIP: 36295VX53<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       564 | PA      | $594.74       | 0.00%             | 2038-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K510 A2    | CUSIP: 3137HB3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2365000 | PA      | $2433651.69   | 0.41%             | 2028-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG J15128                                    | CUSIP: 3128PUVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       410 | PA      | $411.12       | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-149 EA           | CUSIP: 38379GSX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    367654 | PA      | $361119.00    | 0.06%             | 2029-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2007-64 FB                                   | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    729731 | PA      | $726272.20    | 0.12%             | 2037-07-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRIPS FHS 373 100                                     | CUSIP: 3133Q7PB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3329787 | PA      | $2984084.72   | 0.50%             | 2038-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 3.625000% 08/31/2027                               | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  47275000 | PA      | $47337786.87  | 7.98%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5079 CB                                     | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4832237 | PA      | $4256864.84   | 0.72%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-126 IO           | CUSIP: 38378H3E4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1340703 | PA      | $187625.07    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE INTEREST STRIP FNS 429 C3                               | CUSIP: 31423YVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3781865 | PA      | $589885.74    | 0.10%             | 2052-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 658384                                        | CUSIP: 36294SM95<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     74878 | PA      | $79351.16     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA0844                                          | CUSIP: 31417Y5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    109504 | PA      | $110296.14    | 0.02%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-98 BI                                   | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    361706 | PA      | $16414.92     | 0.00%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-57 TI            | CUSIP: 38377EG73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    442016 | PA      | $89498.04     | 0.02%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-38 GE            | CUSIP: 38378DQU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    362931 | PA      | $359419.35    | 0.06%             | 2027-03-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5091 IG                                     | CUSIP: 3137FYML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2360225 | PA      | $474669.96    | 0.08%             | 2051-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 995018                                          | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     77339 | PA      | $80661.00     | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2016-95 BC                                   | CUSIP: 3136AUYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1177987 | PA      | $1127828.09   | 0.19%             | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2016-42 DA                                   | CUSIP: 3136ASZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    282642 | PA      | $272753.77    | 0.05%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 GI           | CUSIP: 38379QGG4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6519 | PA      | $16.06        | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-47 AC            | CUSIP: 38382EAJ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3071733 | PA      | $2503610.17   | 0.42%             | 2050-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-129 AF           | CUSIP: 38378WY23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2226514 | PA      | $2219622.72   | 0.37%             | 2039-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4657 PU                                     | CUSIP: 3137BVPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1109797 | PA      | $1091470.09   | 0.18%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BT7341                                          | CUSIP: 3140LWEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1019647 | PA      | $945159.22    | 0.16%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 599564                                        | CUSIP: 36200FB98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     64862 | PA      | $66166.77     | 0.01%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AX2509                                          | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     12183 | PA      | $12015.94     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 724245                                        | CUSIP: 3620AATA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1640 | PA      | $1689.60      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL8605                                          | CUSIP: 3138ETR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2110389 | PA      | $2096706.50   | 0.35%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FA3219                                          | CUSIP: 3140W3SH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3123633 | PA      | $3210452.23   | 0.54%             | 2040-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-23 CI            | CUSIP: 38379VRH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    212524 | PA      | $5345.70      | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL4237                                          | CUSIP: 3138ELV75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    755791 | PA      | $751001.16    | 0.13%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-68 JI                                   | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     47324 | PA      | $1476.66      | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4700 HV                                     | CUSIP: 3137F1RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4254570 | PA      | $4196161.15   | 0.71%             | 2040-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4107 HE                                     | CUSIP: 3137AUF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3089878 | PA      | $2954420.88   | 0.50%             | 2041-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE INTEREST STRIP FNS 397 6                                | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    559890 | PA      | $506450.46    | 0.09%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US 5YR NOTE (CBT) MAR26 FINANCIAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -65 | NC      | $-7080429.69  | -1.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AP3051                                          | CUSIP: 3138M6L96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     11527 | PA      | $11410.48     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FNR 2012-93 IL SERIES 2012-93 CLASS IL                             | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     36781 | PA      | $543.11       | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IA            | CUSIP: 38380CF81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    567010 | PA      | $73556.33     | 0.01%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4247 LA                                     | CUSIP: 3137B4HR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2094174 | PA      | $2010040.50   | 0.34%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM3526                                          | CUSIP: 3140X64L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1580727 | PA      | $1580859.94   | 0.27%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR ZK7457                                         | CUSIP: 3131XBJA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    234330 | PA      | $233071.85    | 0.04%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2025-3 DA                                    | CUSIP: 3136BURE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1729902 | PA      | $1768340.74   | 0.30%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2010-4 PL                                    | CUSIP: 31398GW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    268810 | PA      | $270558.94    | 0.05%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                      | CUSIP: 01F060626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -2256000 | PA      | $-2310097.59  | -0.39%            | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4182 IE                                     | CUSIP: 3137B0WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     53520 | PA      | $1086.25      | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2021-95 GI                                   | CUSIP: 3136BKWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3276968 | PA      | $517173.40    | 0.09%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2025-13 BD                                   | CUSIP: 3136BU2V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5412602 | PA      | $5428006.73   | 0.92%             | 2051-09-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS       | CUSIP: PAMGZZVY5<br>LEI: N/A                  | Long             | RA               |  | US        |   7600000 | PA      | $7600000.00   | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS4639                                          | CUSIP: 3140XLEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1100822 | PA      | $1144516.86   | 0.19%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-27 PI                                   | CUSIP: 3136A4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    521728 | PA      | $30862.62     | 0.01%             | 2042-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4740 P                                      | CUSIP: 3137FCEH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4167382 | PA      | $3782650.24   | 0.64%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 410987                                        | CUSIP: 36206GRG7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10251 | PA      | $10642.66     | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 3.750000% 04/15/2028                               | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  23775000 | PA      | $23870657.29  | 4.03%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2021-26 YI                                   | CUSIP: 3136BHES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3102632 | PA      | $568096.01    | 0.10%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2010-56 AF                                   | CUSIP: 31398RK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1103139 | PA      | $1101390.74   | 0.19%             | 2040-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 833600                                          | CUSIP: 31407LDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      6565 | PA      | $6847.86      | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 367098                                        | CUSIP: 36204DX38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10142 | PA      | $9840.32      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA5145                                          | CUSIP: 31418EWF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2276308 | PA      | $2359969.88   | 0.40%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4146 AB                                     | CUSIP: 3137AXEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    208136 | PA      | $204165.96    | 0.03%             | 2027-12-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 641988                                        | CUSIP: 36291YF51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5964 | PA      | $6278.85      | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AJ9947                                          | CUSIP: 3138E3BR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    151909 | PA      | $149174.60    | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 731641                                        | CUSIP: 3620AJZE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1594 | PA      | $1655.20      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K511 A2    | CUSIP: 3137HB3G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3190000 | PA      | $3264959.26   | 0.55%             | 2028-10-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-75 DA            | CUSIP: 38383RJZ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3458266 | PA      | $3446245.77   | 0.58%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BU5932                                          | CUSIP: 3140M7SW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    697274 | PA      | $646325.55    | 0.11%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-21 WI                                   | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    486793 | PA      | $22046.42     | 0.00%             | 2055-04-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-112 NA           | CUSIP: 38384CW88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    820866 | PA      | $841375.73    | 0.14%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL2877                                          | CUSIP: 3138EKFT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     54244 | PA      | $53944.12     | 0.01%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 KA            | CUSIP: 38378D3G8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    225221 | PA      | $223185.70    | 0.04%             | 2027-03-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BZ0611                                          | CUSIP: 3140NUVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2862480 | PA      | $2909192.27   | 0.49%             | 2029-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-215 KA           | CUSIP: 38383DY69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2567981 | PA      | $2315498.34   | 0.39%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-107 JI           | CUSIP: 38380TE93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    740300 | PA      | $120118.77    | 0.02%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET  DEUTSCHE     | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |   7500000 | PA      | $7500000.00   | 1.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4535 PA                                     | CUSIP: 3137BMHP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1278992 | PA      | $1249469.40   | 0.21%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5228 DG                                     | CUSIP: 3137H7U76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4441544 | PA      | $4314514.54   | 0.73%             | 2046-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2008-16 FA                                   | CUSIP: 31396YSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    302887 | PA      | $304181.13    | 0.05%             | 2038-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5170 DP                                     | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1752106 | PA      | $1556539.97   | 0.26%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS0102                                          | CUSIP: 3140XFDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1514960 | PA      | $1441200.20   | 0.24%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG K93731                                    | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1831882 | PA      | $1747234.65   | 0.29%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 HI           | CUSIP: 38379QFZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1094 | PA      | $0.11         | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2005-101 B                                   | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    505059 | PA      | $517171.25    | 0.09%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-132 EI           | CUSIP: 38379M6M1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    660488 | PA      | $130044.25    | 0.02%             | 2045-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-41 AG                                   | CUSIP: 3136ANZG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    241265 | PA      | $238639.74    | 0.04%             | 2034-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-26 IK            | CUSIP: 38378JAS1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    259613 | PA      | $33806.70     | 0.01%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS2831                                          | CUSIP: 3140XJED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    303990 | PA      | $296505.59    | 0.05%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR RB5124                                         | CUSIP: 3133KYVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    460593 | PA      | $389770.98    | 0.07%             | 2041-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-51 IB            | CUSIP: 38378MSZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     37099 | PA      | $89.00        | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4419 CW                                     | CUSIP: 3137BFP54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    631099 | PA      | $619914.94    | 0.10%             | 2037-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS1244                                          | CUSIP: 3140XGL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1165791 | PA      | $1145973.44   | 0.19%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US LONG BOND(CBT) MAR26 FINANCIAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         2 | NC      | $230250.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM2399                                          | CUSIP: 3140X5UZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    187811 | PA      | $186418.31    | 0.03%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2020-2 MA  | CUSIP: 35563PQP7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    486912 | PA      | $440746.79    | 0.07%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA2804                                          | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2851895 | PA      | $2717385.69   | 0.46%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-4 BI             | CUSIP: 38378P4B1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    107788 | PA      | $20716.15     | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR ZS8686                                         | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    887343 | PA      | $865803.15    | 0.15%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AH9688                                          | CUSIP: 3138ABXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2701 | PA      | $2704.48      | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-121 FA                                  | CUSIP: 3136AHEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   7327667 | PA      | $7285280.92   | 1.23%             | 2043-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SD4010                                         | CUSIP: 3132E0N32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    618281 | PA      | $604177.57    | 0.10%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2017-69 GA                                   | CUSIP: 3136AXD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1027601 | PA      | $1006390.28   | 0.17%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS1377                                          | CUSIP: 3140XGQ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    849361 | PA      | $846301.48    | 0.14%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2017-68 IB                                   | CUSIP: 3136AXQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1352845 | PA      | $237293.13    | 0.04%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-81 CA            | CUSIP: 38379YNX2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    922585 | PA      | $858141.82    | 0.14%             | 2045-03-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AI9810                                          | CUSIP: 3138AP3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14178 | PA      | $14134.65     | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BC1185                                          | CUSIP: 3140EVJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2491514 | PA      | $2467205.21   | 0.42%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 698033                                        | CUSIP: 36296QPS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     60936 | PA      | $63354.63     | 0.01%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-124 HA           | CUSIP: 38383T4H3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1246196 | PA      | $1230502.42   | 0.21%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | FREMF 2026-K176 MORTGAGE TRUST FHMS K-176 X1                       | CUSIP: 3137HPUG6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        | 110500000 | PA      | $1008378.80   | 0.17%             | 2035-12-25      | Floating      | 100.00%               | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 664541                                        | CUSIP: 36295AHS7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1528 | PA      | $1579.00      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4654 AK                                     | CUSIP: 3137BVRU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1503440 | PA      | $1483804.62   | 0.25%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 726440                                        | CUSIP: 3620ADBH4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7174 | PA      | $7328.18      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF62 A     | CUSIP: 3137FLYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1038304 | PA      | $1038337.59   | 0.18%             | 2026-04-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2022-5 AB                                    | CUSIP: 3136BLGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1577686 | PA      | $1370856.35   | 0.23%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2018-89 CA                                   | CUSIP: 3136B3RT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    931511 | PA      | $929978.30    | 0.16%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                      | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -3983000 | PA      | $-3901813.24  | -0.66%            | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2021-3 TT  | CUSIP: 35563P5Y1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    972855 | PA      | $883991.76    | 0.15%             | 2061-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-68 HI                                   | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    255336 | PA      | $21952.14     | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-136 AB           | CUSIP: 38378UDX2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    246558 | PA      | $245913.44    | 0.04%             | 2027-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3219 EF                                     | CUSIP: 31397BF48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1033845 | PA      | $1030429.64   | 0.17%             | 2032-04-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4292 P                                      | CUSIP: 3137B75T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    529094 | PA      | $521482.55    | 0.09%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG G08737                                    | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3132896 | PA      | $2850726.12   | 0.48%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-68 WA            | CUSIP: 38377GTK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    339601 | PA      | $334909.44    | 0.06%             | 2039-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2019-38 PC                                   | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    579013 | PA      | $551706.92    | 0.09%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4471 GA                                     | CUSIP: 3137BJGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    752393 | PA      | $726660.91    | 0.12%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 676933                                        | CUSIP: 36295QBA7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23497 | PA      | $25006.27     | 0.00%             | 2038-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRIPS FHS 386 C14                                     | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3325167 | PA      | $526179.15    | 0.09%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-26 GJ            | CUSIP: 38378C3R6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    539407 | PA      | $535078.60    | 0.09%             | 2027-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4114 MB                                     | CUSIP: 3137AURW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2166661 | PA      | $2110399.92   | 0.36%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BM3417                                          | CUSIP: 3140J7YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    109831 | PA      | $109060.63    | 0.02%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5213 JH                                     | CUSIP: 3137H6XV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2009031 | PA      | $1929895.07   | 0.33%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-158 A            | CUSIP: 38379GWF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1086634 | PA      | $1062580.48   | 0.18%             | 2029-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS6067                                          | CUSIP: 3140XMW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    374925 | PA      | $366237.17    | 0.06%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS5497                                          | CUSIP: 3140XMDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    382687 | PA      | $373503.22    | 0.06%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2002-53 FK                                   | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     20485 | PA      | $20448.12     | 0.00%             | 2032-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5169 IO                                     | CUSIP: 3137H4GG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2894082 | PA      | $461654.41    | 0.08%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4344 KZ                                     | CUSIP: 3137BAJM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   5301945 | PA      | $5190582.24   | 0.88%             | 2034-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 X1    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  16592238 | PA      | $121073.56    | 0.02%             | 2027-06-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS4600                                          | CUSIP: 3140XLDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1604034 | PA      | $1567618.84   | 0.26%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-37 IM                                   | CUSIP: 3136B9W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2536017 | PA      | $507047.64    | 0.09%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS2749                                          | CUSIP: 3140XJBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    619582 | PA      | $616450.02    | 0.10%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-129 BA           | CUSIP: 38379GKJ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1172475 | PA      | $1146285.86   | 0.19%             | 2029-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4820 JI                                     | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    458800 | PA      | $89666.73     | 0.02%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG G18631                                    | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    496331 | PA      | $479943.56    | 0.08%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4620 IO                                     | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    321587 | PA      | $40372.89     | 0.01%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-5 JI             | CUSIP: 38381BD76<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1650391 | PA      | $250114.22    | 0.04%             | 2044-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AE0803                                          | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    438516 | PA      | $440612.90    | 0.07%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-1 MA  | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2885258 | PA      | $2826066.44   | 0.48%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-49 PI            | CUSIP: 38379WGB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    918983 | PA      | $163448.92    | 0.03%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 783710                                        | CUSIP: 3622A2DP4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     59483 | PA      | $62714.14     | 0.01%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K528 A2    | CUSIP: 3137HFNZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3300000 | PA      | $3356082.18   | 0.57%             | 2029-07-25      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3628 PJ                                     | CUSIP: 31398LUM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    411095 | PA      | $415062.98    | 0.07%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR ZK7453                                         | CUSIP: 3131XBH69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1563380 | PA      | $1554409.90   | 0.26%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 548426                                          | CUSIP: 31385PHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      6055 | PA      | $6057.96      | 0.00%             | 2029-08-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRIPS FHS 303 C2                                      | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    108777 | PA      | $1690.46      | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SB0372                                         | CUSIP: 3132CWMV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2073503 | PA      | $2072967.91   | 0.35%             | 2033-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-146 GH           | CUSIP: 38379GUB1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1780657 | PA      | $1730454.80   | 0.29%             | 2029-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2018-1 MA  | CUSIP: 35563PDZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2861493 | PA      | $2706300.54   | 0.46%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-76 PH                                   | CUSIP: 3136AFHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1457639 | PA      | $1396246.60   | 0.24%             | 2042-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3174 FA                                     | CUSIP: 31396TLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    733863 | PA      | $728510.03    | 0.12%             | 2036-04-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI           | CUSIP: 38380GZW7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    158126 | PA      | $33804.71     | 0.01%             | 2047-09-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-9 PT                                    | CUSIP: 3136ABSM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    197216 | PA      | $192835.47    | 0.03%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4142 PT                                     | CUSIP: 3137AX5Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    216764 | PA      | $212403.82    | 0.04%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IB            | CUSIP: 38380CG23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    381564 | PA      | $54571.99     | 0.01%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR RA8751                                         | CUSIP: 3133KQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    612119 | PA      | $638561.31    | 0.11%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2003-86 ZD            | CUSIP: 38374CG88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1182482 | PA      | $1185288.13   | 0.20%             | 2033-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2025-106 PC                                  | CUSIP: 3136BYAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5965110 | PA      | $5943546.73   | 1.00%             | 2054-09-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4117 P                                      | CUSIP: 3137AUTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    723398 | PA      | $656971.94    | 0.11%             | 2042-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2018-13 MP                                   | CUSIP: 3136B02D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1738072 | PA      | $1688894.96   | 0.28%             | 2057-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                             | CUSIP: 21H022622<br>LEI: N/A                  | Short            | DBT              | USGA              | US        | -12400000 | PA      | $-10738604.35 | -1.81%            | 2056-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR RA8307                                         | CUSIP: 3133KQGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1282963 | PA      | $1332381.06   | 0.22%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-43 AI                                   | CUSIP: 3136A5YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    166569 | PA      | $1774.11      | 0.00%             | 2027-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA2164                                          | CUSIP: 31418BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1024378 | PA      | $999902.03    | 0.17%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2011-17 ZM                                   | CUSIP: 31397QYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2362241 | PA      | $2334330.69   | 0.39%             | 2031-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3930 KE                                     | CUSIP: 3137AFBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7129842 | PA      | $7044976.27   | 1.19%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4340 MI                                     | CUSIP: 3137BAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     38708 | PA      | $250.75       | 0.00%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 890762                                          | CUSIP: 31410LTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1051521 | PA      | $1018905.16   | 0.17%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 693463                                        | CUSIP: 36296KML3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       524 | PA      | $529.62       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-85 PI                                   | CUSIP: 3136BCU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3217151 | PA      | $515856.02    | 0.09%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-10 YA                                   | CUSIP: 3136ACAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    313789 | PA      | $307518.17    | 0.05%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-43 IA            | CUSIP: 38381TR23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1201174 | PA      | $177763.81    | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 4.375000% 12/15/2026                               | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   6875000 | PA      | $6921094.74   | 1.17%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-127 PB           | CUSIP: 38380YYX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1073738 | PA      | $1024179.96   | 0.17%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-5 CP                                    | CUSIP: 3136AMML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    451901 | PA      | $444001.12    | 0.07%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-4 AP                                    | CUSIP: 3136B8NA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1231274 | PA      | $1080256.17   | 0.18%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4650 LP                                     | CUSIP: 3137BUTP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    305300 | PA      | $295945.20    | 0.05%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3339 HF                                     | CUSIP: 31397JYV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1109760 | PA      | $1107359.42   | 0.19%             | 2037-07-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BZ4392                                          | CUSIP: 3140NY3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1204913 | PA      | $1221235.48   | 0.21%             | 2030-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2006-79 DF                                   | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     83991 | PA      | $83590.82     | 0.01%             | 2036-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2017-15 BC                                   | CUSIP: 3136AVNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    698930 | PA      | $690251.52    | 0.12%             | 2043-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2018-3 MA  | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1452192 | PA      | $1427144.79   | 0.24%             | 2057-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 604383                                        | CUSIP: 36200MM83<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       535 | PA      | $543.36       | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BM7871                                          | CUSIP: 3140JCW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4846250 | PA      | $4937053.49   | 0.83%             | 2055-11-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4673 PH                                     | CUSIP: 3137BXEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1324177 | PA      | $1317658.06   | 0.22%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL5400                                          | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    581103 | PA      | $583465.35    | 0.10%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-4 CB                                    | CUSIP: 3136ACFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    404488 | PA      | $396688.20    | 0.07%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC NON GOLD POOL FH 846740                                | CUSIP: 3128HDPZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |        91 | PA      | $90.51        | 0.00%             | 2029-04-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)                         | CUSIP: 01F032633<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -4058000 | PA      | $-3748688.93  | -0.63%            | 2056-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA0864                                          | CUSIP: 31417Y6A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    178468 | PA      | $179022.42    | 0.03%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US 10YR ULTRA FUT MAR26                                 | US 10YR ULTRA FUT MAR26 FINANCIAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -216 | NC      | $-24657750.00 | -4.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4083 DI                                     | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      9805 | PA      | $105.02       | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-95 PG            | CUSIP: 38380FKG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    315240 | PA      | $303376.17    | 0.05%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-119 ND           | CUSIP: 38379MVD3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1033114 | PA      | $996182.66    | 0.17%             | 2044-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (MARCH)                         | CUSIP: 01F052631<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1721589.27   | 0.29%             | 2056-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 MA7881                                       | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  12398767 | PA      | $10745951.66  | 1.81%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5183 IC                                     | CUSIP: 3137H4ZH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3117221 | PA      | $492117.56    | 0.08%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2023-53 GB                                   | CUSIP: 3136BQTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    574434 | PA      | $584712.44    | 0.10%             | 2044-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4709 AB                                     | CUSIP: 3137FAMQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    435268 | PA      | $416594.06    | 0.07%             | 2047-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5491 CV                                     | CUSIP: 3137HHVJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6045178 | PA      | $6182943.02   | 1.04%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS1492                                          | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1625173 | PA      | $1585465.47   | 0.27%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 2571 FY                                     | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1031354 | PA      | $1037700.41   | 0.18%             | 2032-12-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-98 ZA                                   | CUSIP: 3136AGEA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4721171 | PA      | $4701893.20   | 0.79%             | 2043-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K742 X1    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   5628386 | PA      | $62360.83     | 0.01%             | 2028-03-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4996 BI                                     | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3530161 | PA      | $549200.94    | 0.09%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-143 XK           | CUSIP: 38378GF60<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    624407 | PA      | $616621.44    | 0.10%             | 2027-12-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL7364                                          | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    182513 | PA      | $183385.67    | 0.03%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR QN6604                                         | CUSIP: 3133GDKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    555485 | PA      | $513558.90    | 0.09%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2009-77 ZA                                   | CUSIP: 31398FER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    635050 | PA      | $637648.18    | 0.11%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US 2YR NOTE (CBT) MAR26                                 | US 2YR NOTE (CBT) MAR26 FINANCIAL COMMODITY FUTURE.                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       938 | NC      | $195565671.90 | 32.99%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM7815                                          | CUSIP: 3140XBVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    747489 | PA      | $690768.73    | 0.12%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2022-72 CB                                   | CUSIP: 3136BPAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4471952 | PA      | $4493730.03   | 0.76%             | 2039-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2009-82 FC                                   | CUSIP: 31398FPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1249174 | PA      | $1264590.94   | 0.21%             | 2039-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 MA6156                                       | CUSIP: 36179UZV7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    991551 | PA      | $982157.33    | 0.17%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2022-77 CA                                   | CUSIP: 3136BPGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    803020 | PA      | $801683.14    | 0.14%             | 2039-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AH7877                                          | CUSIP: 3138A9XF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      5680 | PA      | $5664.91      | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 834666                                          | CUSIP: 31407MJK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3615 | PA      | $3760.89      | 0.00%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K128 X1    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  10079799 | PA      | $214406.39    | 0.04%             | 2031-03-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI           | CUSIP: 38380BAQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     48771 | PA      | $185.85       | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SB0386                                         | CUSIP: 3132CWNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1277350 | PA      | $1266085.57   | 0.21%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS0101                                          | CUSIP: 3140XFDF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1980741 | PA      | $1884251.21   | 0.32%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2018-12 PK                                   | CUSIP: 3136B03B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4893210 | PA      | $4857981.16   | 0.82%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2016-3 IN                                    | CUSIP: 3136ARFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1451371 | PA      | $203379.12    | 0.03%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-111 NI                                  | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     88024 | PA      | $1812.45      | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 783363                                        | CUSIP: 36241LWY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18548 | PA      | $19255.04     | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AN4021                                          | CUSIP: 3138LGPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1072881 | PA      | $1064623.34   | 0.18%             | 2027-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2017-3 MA  | CUSIP: 35563PBT5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2829135 | PA      | $2693725.51   | 0.45%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 4372                                         | CUSIP: 36202E2D0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6998 | PA      | $7549.20      | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BZ0431                                          | CUSIP: 3140NUPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3325000 | PA      | $3441265.04   | 0.58%             | 2029-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K060 A1    | CUSIP: 3137BTAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    176743 | PA      | $176122.73    | 0.03%             | 2026-07-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 696520                                        | CUSIP: 36296NYR1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19689 | PA      | $20407.25     | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2009-82 FD                                   | CUSIP: 31398FPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1209218 | PA      | $1220688.75   | 0.21%             | 2039-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN CA7114                                          | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    635277 | PA      | $601910.79    | 0.10%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF60 A     | CUSIP: 3137FL7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    218010 | PA      | $218025.68    | 0.04%             | 2026-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 675613                                        | CUSIP: 36295NSA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18453 | PA      | $19334.73     | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)                      | CUSIP: 01F052425<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3150000 | PA      | $3218872.20   | 0.54%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-34 QJ            | CUSIP: 38383MDR6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2164836 | PA      | $2045626.49   | 0.35%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-47 QI                                   | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     11047 | PA      | $1086.91      | 0.00%             | 2042-05-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2009-110 FD                                  | CUSIP: 31398GND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1681722 | PA      | $1691536.76   | 0.29%             | 2040-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST         | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2021-2 TT  | CUSIP: 35563P3S6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   5734898 | PA      | $5232840.44   | 0.88%             | 2060-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 MA3736                                       | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1369418 | PA      | $1287372.91   | 0.22%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 3.625000% 08/15/2028                               | CUSIP: 91282CNU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  11775000 | PA      | $11789718.75  | 1.99%             | 2028-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FS3867                                          | CUSIP: 3140XKJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3662607 | PA      | $3624436.81   | 0.61%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2021-3 TI                                    | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3514818 | PA      | $598276.07    | 0.10%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-6 CM             | CUSIP: 38380U4R1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3951753 | PA      | $3702199.84   | 0.62%             | 2046-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AZ5012                                          | CUSIP: 3138YWSA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     26180 | PA      | $25477.19     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2007-47 DA                                   | CUSIP: 31396VL55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    129406 | PA      | $135445.27    | 0.02%             | 2037-05-25      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN 310229                                          | CUSIP: 31374CSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2217630 | PA      | $2112585.83   | 0.36%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 722819                                        | CUSIP: 3620A9AU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     55734 | PA      | $57360.53     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-91 TJ            | CUSIP: 38379XF47<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4556624 | PA      | $4091186.40   | 0.69%             | 2046-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-77 HI                                   | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2717454 | PA      | $553091.28    | 0.09%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-26 AI                                   | CUSIP: 3136B9YK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    942575 | PA      | $54643.81     | 0.01%             | 2033-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 687731                                        | CUSIP: 36296DA81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16250 | PA      | $17134.34     | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA2524                                          | CUSIP: 31418BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     27400 | PA      | $26907.94     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2009-112 FM                                  | CUSIP: 31398GKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1065899 | PA      | $1072141.74   | 0.18%             | 2040-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-4 JB                                    | CUSIP: 3136ACFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    237388 | PA      | $232646.83    | 0.04%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2015-75 DB                                   | CUSIP: 3136AQBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    914570 | PA      | $886075.36    | 0.15%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-103 HB                                  | CUSIP: 3136A8ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    235194 | PA      | $231387.34    | 0.04%             | 2027-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 5083 AI                                     | CUSIP: 3137FFMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2917588 | PA      | $430931.89    | 0.07%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-36 AB            | CUSIP: 38378DVY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     90499 | PA      | $90184.25     | 0.02%             | 2040-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3153 FX                                     | CUSIP: 31396RPG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     33583 | PA      | $33389.88     | 0.01%             | 2036-05-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GINNIE MAE I POOL GN 681198                                        | CUSIP: 36295UX30<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5791 | PA      | $6085.63      | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                      | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -1775000 | PA      | $-1774510.99  | -0.30%            | 2056-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FA2691                                          | CUSIP: 3140W27D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3729791 | PA      | $3814777.86   | 0.64%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC STRIPS FHS 389 C35                                     | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4075651 | PA      | $543993.44    | 0.09%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-31

**Name of Applicant:** SEI DAILY INCOME TRUST

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer