# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-23-044336
**Filing Date:** 2023-2
**Character Count:** 92797
**Document Hash:** a76a727241c0e07c8c0021396fd4f454
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044336.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044336

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340
- **IRS NUMBER:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 23679307

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### MainStay VP MacKay Government Portfolio (Series ID: S000009446)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000025822 | Initial Class |  |
| C000025823 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MAINSTAY VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** MainStay VP MacKay Government Portfolio

- **b. EDGAR series identifier (if any):** S000009446

- **c. LEI of Series:** 5493007I229AFJKX0U56

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $214897121.37

**Total Liabilities:** $200872.43

**Net Assets:** $214696248.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -28.98000000 | **1-Year:** -3725.05000000 | **5-Year:** -12917.55000000 | **10-Year:** -28067.38000000 | **30-Year:** -48735.05000000

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

- **3-Month:** -55.32000000 | **1-Year:** -1304.34000000 | **5-Year:** -3545.71000000 | **10-Year:** -6649.17000000 | **30-Year:** -10805.22000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025822 | -1.50%               | 3.36%                | -0.66%               |
| Class ID C000025823 | -1.52%               | 3.34%                | -0.68%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-131352.95              | $-3228047.85                               |
| Month 2  | $-15728.42               | $6507653.98                                |
| Month 3  | $89.05                   | $-1754947.42                               |

**Designated Index Information**

- **Index Name:** MAINSTAY VP MACKAY GOVERNMENT EX DERIV BENCH

- **Index Identifier:** 74200020500_EX_DERIV_BENCH

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 31334Y6Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160596 | PA      | $141861.94    | 0.07%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority               | New Jersey Turnpike Authority                                          | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   2000000 | PA      | $2416453.00   | 1.13%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-158, Class NI                                        | CUSIP: 38382XY82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1870414 | PA      | $327680.34    | 0.15%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA II, Other                                                         | CUSIP: 36179VJ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90187 | PA      | $76365.85     | 0.04%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 31418CBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420158 | PA      | $372040.64    | 0.17%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-105, Class IE                                        | CUSIP: 38382TXH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722929 | PA      | $85722.46     | 0.04%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132A5FG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517229 | PA      | $463789.87    | 0.22%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 31334XTG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940024 | PA      | $831963.44    | 0.39%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2015-20G, Class 1  | CUSIP: 83162CXD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    759553 | PA      | $705884.55    | 0.33%             | 2035-07-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140K8R37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416633 | PA      | $357056.86    | 0.17%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133KJTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19228 | PA      | $15855.87     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3138XYBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457956 | PA      | $426979.34    | 0.20%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2020-10, Class LP                                  | CUSIP: 3136B9AX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1458435 | PA      | $1337780.45   | 0.62%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140KDP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3173301 | PA      | $2706827.95   | 1.26%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9N64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398008 | PA      | $412269.93    | 0.19%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140E0EJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116117 | PA      | $1038772.54   | 0.48%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634046 | PA      | $610304.88    | 0.28%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133AAYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886841 | PA      | $725735.92    | 0.34%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1541993 | PA      | $1314585.59   | 0.61%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2019-3, Class A                                           | CUSIP: 38381BKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87322 | PA      | $83562.21     | 0.04%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5094, Class IP                                    | CUSIP: 3137FYQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    828829 | PA      | $128343.41    | 0.06%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2020-63, Class B                                   | CUSIP: 3136BBB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259742 | PA      | $205786.35    | 0.10%             | 2050-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2020-34, Class SC                                         | CUSIP: 38382DM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1009449 | PA      | $100978.16    | 0.05%             | 2050-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2017-K71, Class B                         | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1935000 | PA      | $1751248.72   | 0.82%             | 2050-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2014-K38, Class B                         | CUSIP: 30292CAJ6<br>LEI: 549300FX3XOJCLMOTJ65 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1950671.60   | 0.91%             | 2047-06-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Bonds                                                    | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1251234.37   | 0.58%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9LA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406153 | PA      | $380180.23    | 0.18%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2022-206, Class CN                                        | CUSIP: 38383HKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1230000 | PA      | $1067699.84   | 0.50%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9DE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541203 | PA      | $536511.59    | 0.25%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-105, Class DB                                        | CUSIP: 38382TWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785215 | PA      | $590433.44    | 0.28%             | 2051-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133ABWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1598578 | PA      | $1306485.29   | 0.61%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2020-K104, Class C                        | CUSIP: 302984AU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1007715.96   | 0.47%             | 2052-02-25      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-91, Class MF                                         | CUSIP: 38382TNQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326423 | PA      | $247700.46    | 0.12%             | 2051-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X8MZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2378111 | PA      | $2055358.38   | 0.96%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544203 | PA      | $503137.39    | 0.23%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9GH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403252 | PA      | $387263.31    | 0.18%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 1A1              | CUSIP: 17309RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51189 | PA      | $44498.77     | 0.02%             | 2036-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2019-58, Class LP                                  | CUSIP: 3136B6HH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447866 | PA      | $399576.45    | 0.19%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2019-K87, Class C                         | CUSIP: 35709CAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1345967.25   | 0.63%             | 2051-01-25      | Variable      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 9128285J5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7805000 | PA      | $7537922.66   | 3.51%             | 2025-10-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Series 2022-10, Class SA                                         | CUSIP: 3136BL3H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140755 | PA      | $145264.30    | 0.07%             | 2052-02-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    791122 | PA      | $785151.91    | 0.37%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140KM4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1704165 | PA      | $1392606.77   | 0.65%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction       | Seasoned Loans Structured Transaction, Series 2019-1, Class A1         | CUSIP: 35564CBB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    243596 | PA      | $231975.07    | 0.11%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5019, Class PL                                    | CUSIP: 3137FXJT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    627390 | PA      | $467268.71    | 0.22%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132DMVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187216 | PA      | $1008085.55   | 0.47%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2015-K49, Class C                         | CUSIP: 30287TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $467323.45    | 0.22%             | 2048-10-25      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                     | JPMorgan Mortgage Trust, Series 2021-LTV2, Class A1                    | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1337488 | PA      | $1071187.60   | 0.50%             | 2052-05-25      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-57, Class IN                                         | CUSIP: 38382QAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    435193 | PA      | $50590.28     | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2010-151, Class KO                                        | CUSIP: 38377NHJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    555252 | PA      | $492610.97    | 0.23%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2012-20L, Class 1  | CUSIP: 83162CVE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    216733 | PA      | $195097.67    | 0.09%             | 2032-12-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140QCJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1422416 | PA      | $1216119.50   | 0.57%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2012-124, Class PG                                 | CUSIP: 3136A9Z84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714016 | PA      | $628230.02    | 0.29%             | 2042-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X72X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1837452 | PA      | $1716469.86   | 0.80%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J86S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116777 | PA      | $1050323.82   | 0.49%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-25, Class LI                                         | CUSIP: 38382NTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2385736 | PA      | $300985.62    | 0.14%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2016-K59, Class B                         | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $459823.40    | 0.21%             | 2049-11-25      | Variable      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133B7T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1004746 | PA      | $882263.34    | 0.41%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2018-K78, Class C                         | CUSIP: 30296XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    712000 | PA      | $643845.72    | 0.30%             | 2051-06-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9MC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621833 | PA      | $616443.14    | 0.29%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3138L9U42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025000 | PA      | $979220.03    | 0.46%             | 2025-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2016-K55, Class B                         | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1570000 | PA      | $1486304.24   | 0.69%             | 2049-04-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133KJL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2700217 | PA      | $2207768.86   | 1.03%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 15 Year                                                          | CUSIP: 3132D55H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689387 | PA      | $616964.07    | 0.29%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PSNH Funding LLC 3                          | PSNH Funding LLC 3, Series 2018-1, Class A1                            | CUSIP: 69363PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114326 | PA      | $113198.85    | 0.05%             | 2026-02-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2021-12, Class GC                                  | CUSIP: 3136BFHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1086940 | PA      | $1000675.74   | 0.47%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 15 Year                                                          | CUSIP: 31418DP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248234 | PA      | $1113424.37   | 0.52%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2019-77, Class LZ                                  | CUSIP: 3136B7L58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1832324 | PA      | $1623979.87   | 0.76%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5023, Class LI                                    | CUSIP: 3137FWV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    565102 | PA      | $90005.53     | 0.04%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2021-85, Class BI                                  | CUSIP: 3136BKHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1508149 | PA      | $234214.12    | 0.11%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13865000 | PA      | $11815579.69  | 5.50%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1442422 | PA      | $1180249.00   | 0.55%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    988618 | PA      | $890273.59    | 0.41%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X74D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2307525 | PA      | $1983778.22   | 0.92%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133A1BY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    939257 | PA      | $861986.69    | 0.40%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2022-3, Class YS                                   | CUSIP: 3136BLFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3723648 | PA      | $44150.93     | 0.02%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X7MM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2208023 | PA      | $1898076.14   | 0.88%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Ohio PIRB Special Purpose Trust | FirstEnergy Ohio PIRB Special Purpose Trust, Series 2013-1, Class A3   | CUSIP: 33766QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440179 | PA      | $403253.14    | 0.19%             | 2036-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B5Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559618 | PA      | $538040.93    | 0.25%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140L2RH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2126598 | PA      | $1745389.65   | 0.81%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3138L87L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1978393 | PA      | $1887201.15   | 0.88%             | 2025-05-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140KAL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987312 | PA      | $842578.46    | 0.39%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5149, Class LI                                    | CUSIP: 3137H2T79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1804986 | PA      | $239208.48    | 0.11%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                         | U.S. Treasury 10 Year Notes                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        19 | NC      | $-5832.77     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2016-K58, Class B                         | CUSIP: 35690AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $928414.00    | 0.43%             | 2049-09-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601219 | PA      | $614677.36    | 0.29%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3138WJCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430437 | PA      | $381146.23    | 0.18%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155484 | PA      | $148422.47    | 0.07%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC            | PG&E Energy Recovery Funding LLC, Series A-1                           | CUSIP: 71710TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1861978 | PA      | $1619274.46   | 0.75%             | 2031-07-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-139, Class IA                                        | CUSIP: 38382XFY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2863843 | PA      | $464011.84    | 0.22%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X6H38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1877447 | PA      | $1608959.73   | 0.75%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9D24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    917840 | PA      | $835750.81    | 0.39%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5 | CUSIP: 03882KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2430474.60   | 1.13%             | 2054-10-15      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1529776 | PA      | $1304266.21   | 0.61%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, STRIPS, Series 360, Class 2                                      | CUSIP: 3136FCUU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40498 | PA      | $7236.10      | 0.00%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3140FXFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467255 | PA      | $411920.83    | 0.19%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5160                                              | CUSIP: 3137H3WL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476010 | PA      | $56525.04     | 0.03%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140HFNR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040104 | PA      | $887632.48    | 0.41%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 4913, Class UA                                    | CUSIP: 3137FNNK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307893 | PA      | $277673.49    | 0.13%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                  | Tennessee Valley Authority                                             | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |   4395000 | PA      | $4340781.65   | 2.02%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B4D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253991 | PA      | $238022.85    | 0.11%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636101 | PA      | $569272.70    | 0.27%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8964 | PA      | $7812.00      | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133A8FP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303435 | PA      | $1066489.46   | 0.50%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2013-K33, Class B                         | CUSIP: 30265AAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    933000 | PA      | $915916.21    | 0.43%             | 2046-08-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5900000 | PA      | $5637265.63   | 2.63%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-57, Class AI                                         | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2569122 | PA      | $268104.10    | 0.12%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 20 Year                                                          | CUSIP: 3140XCHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1842302 | PA      | $1615747.91   | 0.75%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133KKRQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1440146 | PA      | $1228036.86   | 0.57%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, Other                                                | CUSIP: 3132GAHX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114159 | PA      | $112282.01    | 0.05%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2014-20I, Class 1  | CUSIP: 83162CWN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292364 | PA      | $272617.08    | 0.13%             | 2034-09-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-78, Class LA                                         | CUSIP: 38382QF70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641293 | PA      | $487192.88    | 0.23%             | 2051-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Bonds                                                    | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2790000 | PA      | $2298480.45   | 1.07%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, STRIPS, Series 361, Class 2                                      | CUSIP: 3136FCWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9278 | PA      | $1962.39      | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MainStay U.S. Government Liquidity Fund     | MainStay U.S. Government Liquidity Fund, Class I                       | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |   2162907 | NS      | $2162906.66   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust | Arbor Multifamily Mortgage Securities Trust, Series 2022-MF4, Class A5 | CUSIP: 03882LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1721594.80   | 0.80%             | 2055-02-15      | Variable      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2019-59, Class KA                                         | CUSIP: 38381VH45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    390933 | PA      | $355449.39    | 0.17%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133BFK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1401072 | PA      | $1273274.98   | 0.59%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510339 | PA      | $457578.19    | 0.21%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2014-K41, Class B                         | CUSIP: 30287EAE0<br>LEI: 549300J7N4IBRYXP6K82 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2597829.84   | 1.21%             | 2047-11-25      | Variable      | 3.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418CG40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1535098 | PA      | $1323470.77   | 0.62%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA II, Other                                                         | CUSIP: 36179VDB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267857 | PA      | $226808.73    | 0.11%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140HJJS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2026798 | PA      | $1932537.31   | 0.90%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602291 | PA      | $510153.98    | 0.24%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133A7V63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    867247 | PA      | $709082.21    | 0.33%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105276 | PA      | $97306.53     | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 4877, Class AT                                    | CUSIP: 3137FLX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145259 | PA      | $135672.13    | 0.06%             | 2048-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA II, 30 Year                                                       | CUSIP: 36179U6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369211 | PA      | $350498.83    | 0.16%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2021-6, Class ML                                   | CUSIP: 3136BD2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    714835 | PA      | $648118.43    | 0.30%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-175, Class DF                                        | CUSIP: 38383CN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1919824 | PA      | $1698042.11   | 0.79%             | 2051-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 20 Year                                                          | CUSIP: 31418DZ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1750470 | PA      | $1535147.96   | 0.72%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X7EV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1887828 | PA      | $1613593.20   | 0.75%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3567732 | PA      | $3133445.76   | 1.46%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140XARA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1453999 | PA      | $1248530.18   | 0.58%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-57, Class SD                                         | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1347264 | PA      | $159411.54    | 0.07%             | 2051-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2018-20D, Class 1  | CUSIP: 83162CZJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1503671 | PA      | $1408269.55   | 0.66%             | 2038-04-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Inflation Linked Notes                                   | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2770000 | PA      | $2881936.88   | 1.34%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2021-53, Class GI                                  | CUSIP: 3136BGMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1887030 | PA      | $299480.91    | 0.14%             | 2048-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 3132VNG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185889 | PA      | $176910.42    | 0.08%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 3128MJYR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576826 | PA      | $497829.98    | 0.23%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9BV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3386514 | PA      | $3357164.71   | 1.56%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4563281.25   | 2.13%             | 2025-04-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 20 Year                                                          | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2129505 | PA      | $1813553.55   | 0.84%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X9YF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1778714 | PA      | $1512825.34   | 0.70%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9N56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1184571 | PA      | $1199525.07   | 0.56%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 31371NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5308 | PA      | $5412.99      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2018-20B, Class 1  | CUSIP: 83162CZF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1260116 | PA      | $1179737.07   | 0.55%             | 2038-02-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5038, Class SA                                    | CUSIP: 3137FXPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2240423 | PA      | $100184.09    | 0.05%             | 2050-11-25      | Floating      | 0.17%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 9128286R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3150000 | PA      | $3050085.94   | 1.42%             | 2024-04-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2014-20H, Class 1  | CUSIP: 83162CWL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271656 | PA      | $251966.23    | 0.12%             | 2034-08-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73563 | PA      | $76611.23     | 0.04%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 4877, Class BE                                    | CUSIP: 3137FLXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218647 | PA      | $203898.65    | 0.09%             | 2048-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399471 | PA      | $380045.63    | 0.18%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 91282CDF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5400000 | PA      | $4661085.92   | 2.17%             | 2028-10-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                       | One Bryant Park Trust, Series 2019-OBP, Class A                        | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265000 | PA      | $1035609.07   | 0.48%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 3128MJGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19652 | PA      | $20857.25     | 0.01%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3138ET5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300375 | PA      | $279029.89    | 0.13%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2014-63, Class PG                                         | CUSIP: 38379BCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519967 | PA      | $485330.10    | 0.23%             | 2043-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539135 | PA      | $474619.56    | 0.22%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2019-K103, Class B                        | CUSIP: 30315DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2144000 | PA      | $1839498.40   | 0.86%             | 2051-12-25      | Variable      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration | United States Small Business Administration, Series 2014-20C, Class 1  | CUSIP: 83162CWD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    469048 | PA      | $438371.85    | 0.20%             | 2034-03-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2021-6, Class MC                                   | CUSIP: 3136BD2T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1364063 | PA      | $1266280.29   | 0.59%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    907968 | PA      | $801783.94    | 0.37%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, STRIPS, Series 427, Class C77                                    | CUSIP: 31423XQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976753 | PA      | $297546.57    | 0.14%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-136, Class TI                                        | CUSIP: 38382WV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2367742 | PA      | $342368.20    | 0.16%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 31339UY95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543540 | PA      | $484678.68    | 0.23%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140QDA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977756 | PA      | $863304.80    | 0.40%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140XDQV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2588361 | PA      | $2273305.14   | 1.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    964638 | PA      | $904880.53    | 0.42%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X7KB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524532 | PA      | $1345084.65   | 0.63%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2016-K54, Class B                         | CUSIP: 30288RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    695000 | PA      | $656433.48    | 0.31%             | 2048-04-25      | Variable      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 20 Year                                                          | CUSIP: 3138MFA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292092 | PA      | $274625.74    | 0.13%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-213, Class ES                                        | CUSIP: 38383FKL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5718249 | PA      | $10979.61     | 0.01%             | 2051-12-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    910025 | PA      | $777697.30    | 0.36%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9DD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367451 | PA      | $1355073.31   | 0.63%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140KRL72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1721251 | PA      | $1467855.11   | 0.68%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Notes                                                    | CUSIP: 912828D56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1695000 | PA      | $1635410.16   | 0.76%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B6B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477769 | PA      | $456293.21    | 0.21%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA II, 30 Year                                                       | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300873 | PA      | $294727.39    | 0.14%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140H1DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194828 | PA      | $180578.00    | 0.08%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, Series 5057, Class SH                                           | CUSIP: 3137F7LL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    823740 | PA      | $94779.33     | 0.04%             | 2050-12-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133AD5G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367318 | PA      | $312042.52    | 0.15%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2021-13, Class BI                                  | CUSIP: 3136BFPZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052774 | PA      | $166760.38    | 0.08%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA II, Other                                                         | CUSIP: 36179VFC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68255 | PA      | $57794.97     | 0.03%             | 2050-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                    | U.S. Treasury Inflation Linked Notes                                   | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2020000 | PA      | $2102169.93   | 0.98%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 5155, Class KI                                    | CUSIP: 3137H36E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1312485 | PA      | $191819.39    | 0.09%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2020-10, Class DA                                  | CUSIP: 3136B9BV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1436998 | PA      | $1324728.79   | 0.62%             | 2060-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2020-146, Class SA                                        | CUSIP: 38382KWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957568 | PA      | $113251.98    | 0.05%             | 2050-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133KLA98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2158555 | PA      | $1843129.06   | 0.86%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2014-K40, Class B                         | CUSIP: 30285FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1645000 | PA      | $1595398.15   | 0.74%             | 2047-11-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-188                                                  | CUSIP: 38383CTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1499336 | PA      | $239946.60    | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA II, Other                                                         | CUSIP: 36179VNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401565 | PA      | $340025.03    | 0.16%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 15 Year                                                          | CUSIP: 3132D53W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226501 | PA      | $208693.14    | 0.10%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J84A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943978 | PA      | $964001.28    | 0.45%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B5Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380896 | PA      | $365519.72    | 0.17%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                        | GNMA, Series 2021-98, Class IN                                         | CUSIP: 38382TM27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564554 | PA      | $101475.64    | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                        | FREMF Mortgage Trust, Series 2013-K35, Class B                         | CUSIP: 30291VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1925000 | PA      | $1897676.55   | 0.88%             | 2046-12-25      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                        | FNMA, REMIC, Series 2019-13, Class PE                                  | CUSIP: 3136B4GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213056 | PA      | $190800.52    | 0.09%             | 2049-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140JM7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101839 | PA      | $96987.59     | 0.05%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida Project Finance LLC     | Duke Energy Florida Project Finance LLC, Series 2026                   | CUSIP: 26444GAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1880333 | PA      | $1704788.55   | 0.79%             | 2029-09-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140Q9T94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347450 | PA      | $331763.86    | 0.15%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587222 | PA      | $518822.04    | 0.24%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140QDJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855308 | PA      | $753995.50    | 0.35%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                   | BXP Trust, Series 2017-GM, Class A                                     | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1557099.43   | 0.73%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335B2M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1072085 | PA      | $959991.81    | 0.45%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 4908, Class BD                                    | CUSIP: 3137FNBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    996832 | PA      | $874894.09    | 0.41%             | 2049-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                         | U.S. Treasury 10 Year Ultra Bonds                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        46 | NC      | $-8340.81     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                       | FHLMC Gold Pools, 30 Year                                              | CUSIP: 31335BM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    981474 | PA      | $910483.35    | 0.42%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | FNMA, Other                                                            | CUSIP: 31371NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8174 | PA      | $8414.26      | 0.00%             | 2047-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New York State Thruway Authority            | New York State Thruway Authority                                       | CUSIP: 650009S53<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4000000 | PA      | $3288043.20   | 1.53%             | 2035-01-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140J9KL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1765746 | PA      | $1823018.51   | 0.85%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                       | FHLMC, REMIC, Series 4888, Class BA                                    | CUSIP: 3137FM6K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131797 | PA      | $124279.52    | 0.06%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133KJ7M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142784 | PA      | $121549.25    | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                        | UMBS, 30 Year                                                          | CUSIP: 3140X8BM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763471 | PA      | $722613.95    | 0.34%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                  | UMBS, 30 Year                                                          | CUSIP: 3133KJVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1848070 | PA      | $1510600.26   | 0.70%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** MAINSTAY VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer