# EDGAR Filing Document

**Accession Number:** 0000701939
**File Stem:** 0001752724-23-074964
**Filing Date:** 2023-3
**Character Count:** 170375
**Document Hash:** e3f7cee09916390a58fd1036ccc47aa7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-074964.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-074964

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI DAILY INCOME TRUST /MA/
- **CENTRAL INDEX KEY:** 0000701939
- **IRS NUMBER:** 236756825
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03451
- **FILM NUMBER:** 23783954

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

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

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

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

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

## Series and Classes Contracts Data

### SDIT GNMA FUND (Series ID: S000008269)

| Class ID   | Class Name                                                       | Ticker Symbol   |
|:---|:---|:---|
| C000022554 | SDIT GNMA FUND - CLASS F, effective 1-31-2017 (formerly Class A) | SEGMX           |
| C000147421 | Class Y                                                          | SGMYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

- **a. Name of Series:** SDIT GNMA FUND

- **b. EDGAR series identifier (if any):** S000008269

- **c. LEI of Series:** 5493001L5ZV8Q54PWC13

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

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $68192526.29

**Total Liabilities:** $20123648.86

**Net Assets:** $48068877.43

**Cash Not Reported:** $81678.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6.37795206 | **1-Year:** 301.79450303 | **5-Year:** 701.07722941 | **10-Year:** 1482.19621602 | **30-Year:** 633.75321872

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

- **3-Month:** -159.99044912 | **1-Year:** -2860.01547868 | **5-Year:** -8259.02366067 | **10-Year:** -15330.39513750 | **30-Year:** -4067.40339387

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000022554 | 3.05%                | -0.90%               | 3.35%                |
| Class ID C000147421 | 3.07%                | -0.88%               | 3.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $67466.07                | $1251791.17                                |
| Month 2  | $-316026.24              | $-237950.14                                |
| Month 3  | $104966.55               | $1391522.30                                |

**Designated Index Information**

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

- **Index Identifier:** LEH_GNMA

### Schedule of Portfolio Investments

| Name                                            | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-72 ML           | CUSIP: 38379BB31<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    325706 | PA      | $315908.11    | 0.66%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-19 AY           | CUSIP: 38380C3D3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    436000 | PA      | $387452.62    | 0.81%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4731 LB                                    | CUSIP: 3137FBPD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    167361 | PA      | $139149.41    | 0.29%             | 2047-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY           | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              |  | US        |  -2889000 | PA      | $-2624024.53  | -5.46%            | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-169 ZK          | CUSIP: 38378YJZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     55319 | PA      | $47582.12     | 0.10%             | 2043-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                            | CUSIP: 21H042620<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2289000 | PA      | $2272547.81   | 4.73%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 600759                                       | CUSIP: 36200GMG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3508 | PA      | $3582.50      | 0.01%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 650149                                         | CUSIP: 31390MH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      8450 | PA      | $8425.81      | 0.02%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AN1805                                       | CUSIP: 36185KAE6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     65136 | PA      | $60184.07     | 0.13%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 412390                                       | CUSIP: 36206JC36<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1448 | PA      | $1451.89      | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 733799                                       | CUSIP: 3620AMGG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7083 | PA      | $7231.83      | 0.02%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780977                                       | CUSIP: 36225BCN6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       632 | PA      | $653.25       | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3597                                      | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    623511 | PA      | $597976.01    | 1.24%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1921                                      | CUSIP: 36179QD24<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    103541 | PA      | $106816.59    | 0.22%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780615                                       | CUSIP: 36225AVG2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13362 | PA      | $13849.91     | 0.03%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2019-31 CB                                  | CUSIP: 3136B5MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    300000 | PA      | $265018.02    | 0.55%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 622122                                       | CUSIP: 36291AD30<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12266 | PA      | $12710.13     | 0.03%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7312                                      | CUSIP: 36179WDR6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    556482 | PA      | $498367.12    | 1.04%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4636                                        | CUSIP: 36202FEH5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    294761 | PA      | $300816.61    | 0.63%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 737930                                       | CUSIP: 3620ARY39<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20206 | PA      | $20132.02     | 0.04%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 621132                                       | CUSIP: 36290YA99<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19073 | PA      | $19454.70     | 0.04%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-18 TA           | CUSIP: 38379VJK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    239438 | PA      | $215654.38    | 0.45%             | 2044-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4923                                        | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10903 | PA      | $11126.84     | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AA5827                                       | CUSIP: 36178DPL9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     36296 | PA      | $36165.56     | 0.08%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 710693                                       | CUSIP: 36297FRN4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8111 | PA      | $8409.77      | 0.02%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                     | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -2565000 | PA      | $-2476828.13  | -5.15%            | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7192                                      | CUSIP: 36179V7D6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1138433 | PA      | $989305.30    | 2.06%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-62 CI           | CUSIP: 38379LS49<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    152324 | PA      | $28068.91     | 0.06%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                            | CUSIP: 21H020626<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3400000 | PA      | $2937945.30   | 6.11%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781429                                       | CUSIP: 36225BSS8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       995 | PA      | $1057.33      | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605461                                       | CUSIP: 36200NTS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35027 | PA      | $36187.76     | 0.08%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K123 X1   | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2318468 | PA      | $107941.15    | 0.22%             | 2030-12-25      | Floating      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-47 IA           | CUSIP: 38378JXN7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    235734 | PA      | $42721.96     | 0.09%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5191                                      | CUSIP: 36179TXU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    143775 | PA      | $137738.55    | 0.29%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780892                                       | CUSIP: 36225A7D6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5180 | PA      | $5368.43      | 0.01%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604871                                       | CUSIP: 36200M6G3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1276 | PA      | $1318.37      | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 472005                                       | CUSIP: 36209HKS3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2057 | PA      | $2112.05      | 0.00%             | 2028-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 527107                                       | CUSIP: 36211YR48<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       269 | PA      | $269.19       | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 5175                                        | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    170316 | PA      | $173815.01    | 0.36%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-53 ZM                                  | CUSIP: 3136BBHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    551894 | PA      | $396258.60    | 0.82%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BG4091                                      | CUSIP: 3617GNRL6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10499 | PA      | $10227.05     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 782442                                       | CUSIP: 36241KWB0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7276 | PA      | $7524.78      | 0.02%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS      | CUSIP: PAMGZZVY7<br>LEI: N/A                  | Long             | RA               |  | US        |    300000 | PA      | $300000.00    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                     | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -405000 | PA      | $-340389.84   | -0.71%            | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AA0159                                       | CUSIP: 36177WE89<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    370127 | PA      | $365499.47    | 0.76%             | 2042-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-23 CI           | CUSIP: 38379VRH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    497611 | PA      | $26456.15     | 0.06%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 782789                                       | CUSIP: 36241LC20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6940 | PA      | $7267.18      | 0.02%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3374                                      | CUSIP: 36179RXB0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9210 | PA      | $8345.66      | 0.02%             | 2046-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AN5728                                       | CUSIP: 36186NLH0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18621 | PA      | $17621.30     | 0.04%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 395659                                         | CUSIP: 31378DQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       655 | PA      | $655.37       | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3452                                      | CUSIP: 36179RZR3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4664 | PA      | $4226.21      | 0.01%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 783442                                      | CUSIP: 36241LZF6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    508169 | PA      | $505864.50    | 1.05%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 494109                                       | CUSIP: 36210J3S5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6204 | PA      | $6206.49      | 0.01%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 410 C8                              | CUSIP: 31395QCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    303791 | PA      | $32567.47     | 0.07%             | 2032-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783021                                       | CUSIP: 36241LLA2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33698 | PA      | $33483.35     | 0.07%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AM6455                                       | CUSIP: 36184XE47<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    205612 | PA      | $192529.21    | 0.40%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5265                                      | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    255392 | PA      | $256857.68    | 0.53%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 CG          | CUSIP: 38380GK45<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     80000 | PA      | $70087.42     | 0.15%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 431445                                       | CUSIP: 36207GHW2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7379 | PA      | $7487.68      | 0.02%             | 2026-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-115 YA          | CUSIP: 38382HG20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     58937 | PA      | $46050.24     | 0.10%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7053                                      | CUSIP: 36179VZS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1424473 | PA      | $1319402.93   | 2.74%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 628869                                       | CUSIP: 36291HT20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1731 | PA      | $1767.56      | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY        | CUSIP: 21H032621<br>LEI: N/A                  | Long             | DBT              |  | US        |    200000 | PA      | $189089.56    | 0.39%             | 2045-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 688029                                       | CUSIP: 36296DLJ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     51524 | PA      | $54268.59     | 0.11%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7137                                      | CUSIP: 36179V4W7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    113487 | PA      | $104669.25    | 0.22%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 615635                                       | CUSIP: 36290R4U4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30607 | PA      | $31430.43     | 0.07%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        25 | NC      | $5141210.94   | 10.70%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K737 X1   | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2134032 | PA      | $38993.24     | 0.08%             | 2026-10-25      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-133 EP          | CUSIP: 38379GRG4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    251000 | PA      | $235681.85    | 0.49%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5192                                      | CUSIP: 36179TXV2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    223953 | PA      | $220114.85    | 0.46%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 506659                                       | CUSIP: 36210YZY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12169 | PA      | $12505.47     | 0.03%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 617841                                       | CUSIP: 36290ULW4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28062 | PA      | $29487.52     | 0.06%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 641944                                       | CUSIP: 36291YER4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       386 | PA      | $392.22       | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-26 IK           | CUSIP: 38378JAS1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    235760 | PA      | $30020.40     | 0.06%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5329                                      | CUSIP: 36179T4N2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     53447 | PA      | $51191.50     | 0.11%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 693467                                       | CUSIP: 36296KMQ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     52372 | PA      | $54468.15     | 0.11%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4901                                      | CUSIP: 36179TNS0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     75193 | PA      | $74014.95     | 0.15%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781339                                       | CUSIP: 36225BPY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1960 | PA      | $2110.49      | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BF9693                                      | CUSIP: 3617GGXW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12887 | PA      | $12578.68     | 0.03%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BB0185                                      | CUSIP: 3617AQF20<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    100612 | PA      | $99336.12     | 0.21%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 626815                                       | CUSIP: 36291FK49<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     76681 | PA      | $79845.76     | 0.17%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-122 IP          | CUSIP: 38379ETX0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    261436 | PA      | $15266.79     | 0.03%             | 2029-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI          | CUSIP: 38380BAQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    197580 | PA      | $9165.57      | 0.02%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 506238                                         | CUSIP: 31383LLT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       138 | PA      | $137.47       | 0.00%             | 2028-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-84 IO           | CUSIP: 38379PQ67<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    235706 | PA      | $39087.33     | 0.08%             | 2042-05-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783024                                       | CUSIP: 36241LLD6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3415 | PA      | $3538.78      | 0.01%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3308                                      | CUSIP: 36179RU98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     75998 | PA      | $68874.59     | 0.14%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                     | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -1027000 | PA      | $-899136.27   | -1.87%            | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781252                                       | CUSIP: 36225BL97<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2859 | PA      | $3058.27      | 0.01%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4126                                      | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     51951 | PA      | $48473.96     | 0.10%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4484 CI                                    | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    278610 | PA      | $23240.85     | 0.05%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5762                                      | CUSIP: 36179UMK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     40332 | PA      | $38729.50     | 0.08%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 638060                                       | CUSIP: 36291TZZ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3691 | PA      | $3754.74      | 0.01%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 451440                                       | CUSIP: 36208HPZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       355 | PA      | $354.91       | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4656                                        | CUSIP: 36202FE51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30869 | PA      | $30728.40     | 0.06%             | 2040-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5137                                      | CUSIP: 36179TV69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5648 | PA      | $5557.67      | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 784115                                      | CUSIP: 3622A2SC7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    165214 | PA      | $154771.69    | 0.32%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-71 IN                                  | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     57981 | PA      | $10193.02     | 0.02%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605758                                       | CUSIP: 36200N5T4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31306 | PA      | $31982.83     | 0.07%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-1 HB            | CUSIP: 38380UF81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    228000 | PA      | $194272.03    | 0.40%             | 2048-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-161 GZ          | CUSIP: 38379FUE7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    278894 | PA      | $248776.84    | 0.52%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4195                                      | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    110756 | PA      | $103215.95    | 0.21%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-110 PB                                 | CUSIP: 3136B0NX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     79000 | PA      | $64333.02     | 0.13%             | 2057-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 517382                                         | CUSIP: 31383YXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2689 | PA      | $2689.12      | 0.01%             | 2028-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 784801                                      | CUSIP: 3622AAGJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    571158 | PA      | $535239.52    | 1.11%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 479231                                       | CUSIP: 36209RLL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1934 | PA      | $1937.34      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4199 QI                                    | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    207686 | PA      | $9370.46      | 0.02%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 324 C18                                    | CUSIP: 31325VBN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    254227 | PA      | $28413.80     | 0.06%             | 2033-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-74 HI                                  | CUSIP: 3136BB6V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    278789 | PA      | $55489.47     | 0.12%             | 2050-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2019-M21 X1                                   | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1175577 | PA      | $65668.31     | 0.14%             | 2029-05-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-136 A           | CUSIP: 38380BNN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    548075 | PA      | $510751.24    | 1.06%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-24 CI           | CUSIP: 38379JVP3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    142457 | PA      | $21044.61     | 0.04%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6819                                      | CUSIP: 36179VSG6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    961293 | PA      | $860996.67    | 1.79%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-57 TI           | CUSIP: 38377EG73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    286631 | PA      | $56421.32     | 0.12%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4624 BI                                    | CUSIP: 3137BSMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    113749 | PA      | $21188.51     | 0.04%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4636 BI                                    | CUSIP: 3137BTN80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    192429 | PA      | $38970.74     | 0.08%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 692488                                       | CUSIP: 36296JJ97<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16199 | PA      | $16631.14     | 0.03%             | 2039-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 628110                                       | CUSIP: 36291GYF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14373 | PA      | $14673.92     | 0.03%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 660769                                         | CUSIP: 31391ACE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     18224 | PA      | $18873.23     | 0.04%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 647723                                       | CUSIP: 36292FSL2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     41817 | PA      | $42728.08     | 0.09%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604574                                       | CUSIP: 36200MT78<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10059 | PA      | $10123.25     | 0.02%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-68 IB                                  | CUSIP: 3136AXQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    158878 | PA      | $29699.22     | 0.06%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 651993                                       | CUSIP: 36292LKE3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5141 | PA      | $5261.83      | 0.01%             | 2036-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1287                                      | CUSIP: 36179NNC8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     78122 | PA      | $80637.66     | 0.17%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 478716                                       | CUSIP: 36209QYM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3184 | PA      | $3208.42      | 0.01%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K110 X1   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1145558 | PA      | $105629.14    | 0.22%             | 2030-04-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-93 IL                                  | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    176641 | PA      | $8149.46      | 0.02%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN CO6356                                       | CUSIP: 3617FJBZ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    147310 | PA      | $149303.57    | 0.31%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-149 LZ          | CUSIP: 38378UKN6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     49135 | PA      | $42425.12     | 0.09%             | 2043-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7193                                      | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    152696 | PA      | $136695.27    | 0.28%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3378                                      | CUSIP: 36179RXF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    477512 | PA      | $489366.49    | 1.02%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 475654                                       | CUSIP: 36209MMB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11614 | PA      | $11926.76     | 0.02%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3172                                      | CUSIP: 36179RQZ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    574273 | PA      | $538859.94    | 1.12%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 635907                                       | CUSIP: 36291RNY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     12452 | PA      | $12878.45     | 0.03%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 711016                                       | CUSIP: 36297F3Z3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8470 | PA      | $8780.06      | 0.02%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1377                                      | CUSIP: 36179NQ68<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    157222 | PA      | $162190.59    | 0.34%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 724397                                       | CUSIP: 3620AAX29<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23917 | PA      | $24407.75     | 0.05%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2679                                      | CUSIP: 36179Q6Q9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    338948 | PA      | $336882.89    | 0.70%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 737996                                       | CUSIP: 3620AR3D1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    243541 | PA      | $240743.93    | 0.50%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3171                                      | CUSIP: 36179RQY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10113 | PA      | $9112.78      | 0.02%             | 2045-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 782974                                       | CUSIP: 36241LJT4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13253 | PA      | $13732.27     | 0.03%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4320                                      | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7102 | PA      | $6618.61      | 0.01%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780509                                       | CUSIP: 36225AR69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       729 | PA      | $756.53       | 0.00%             | 2027-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AK6887                                       | CUSIP: 36183QUL7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    108412 | PA      | $100190.33    | 0.21%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 603212                                       | CUSIP: 36200KDR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9112 | PA      | $9372.69      | 0.02%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 478966                                       | CUSIP: 36209RCB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2823 | PA      | $2911.50      | 0.01%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-168 MI          | CUSIP: 38379F2C2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    323024 | PA      | $50970.21     | 0.11%             | 2037-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 651737                                       | CUSIP: 36292LBE3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9280 | PA      | $9480.07      | 0.02%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 592591                                       | CUSIP: 36201TKC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       464 | PA      | $473.66       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4450                                      | CUSIP: 36179S5K9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11911 | PA      | $11100.07     | 0.02%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US LONG BOND(CBT) MAR23 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -4 | NC      | $-519500.00   | -1.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7590                                      | CUSIP: 36179WNF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    980561 | PA      | $904759.50    | 1.88%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 521331                                       | CUSIP: 36211SEC7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3844 | PA      | $4016.37      | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                     | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -1016000 | PA      | $-1003300.00  | -2.09%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-146 YK          | CUSIP: 38382KWF6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |         0 | PA      | $0.09         | 0.00%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4778                                      | CUSIP: 36179TJX4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    443034 | PA      | $424584.54    | 0.88%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 343340                                       | CUSIP: 36203ALV6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       874 | PA      | $874.59       | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 647290                                       | CUSIP: 36292FC39<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4344 | PA      | $4438.66      | 0.01%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K116 X1   | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1319118 | PA      | $106666.52    | 0.22%             | 2030-07-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6995                                      | CUSIP: 36179VXY1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    178624 | PA      | $159545.64    | 0.33%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 609505                                       | CUSIP: 36202UDJ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6331 | PA      | $6466.16      | 0.01%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5466                                      | CUSIP: 36179UCB6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     32930 | PA      | $32225.03     | 0.07%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K125 X1   | CUSIP: 3137F9ZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2989294 | PA      | $109198.31    | 0.23%             | 2031-01-25      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7589                                      | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1290142 | PA      | $1151627.38   | 2.40%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5398                                      | CUSIP: 36179T7K5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     49204 | PA      | $48343.75     | 0.10%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 490103                                       | CUSIP: 36210ENU9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2657 | PA      | $2728.48      | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K128 X1   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1340920 | PA      | $43580.42     | 0.09%             | 2031-03-25      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4060 TI                                    | CUSIP: 3137ARA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    134683 | PA      | $2024.76      | 0.00%             | 2026-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3736                                      | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    310680 | PA      | $297949.28    | 0.62%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3243                                      | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     98627 | PA      | $92490.65     | 0.19%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7136                                      | CUSIP: 36179V4V9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    675102 | PA      | $604372.86    | 1.26%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 500075                                       | CUSIP: 36210RQ45<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1100 | PA      | $1106.37      | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K118 X1   | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1515724 | PA      | $85685.41     | 0.18%             | 2030-09-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3520                                      | CUSIP: 36179R4D8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     54037 | PA      | $50594.16     | 0.11%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 543916                                       | CUSIP: 36212UGZ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       394 | PA      | $394.39       | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-119 ZK          | CUSIP: 38379EFP2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    351591 | PA      | $325635.94    | 0.68%             | 2044-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 611012                                       | CUSIP: 36202VYH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23464 | PA      | $24133.05     | 0.05%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7367                                      | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    112446 | PA      | $100532.62    | 0.21%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-74 IC           | CUSIP: 38382E5F0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    558951 | PA      | $31884.86     | 0.07%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AM8641                                       | CUSIP: 36185BS64<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     82410 | PA      | $76162.74     | 0.16%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5019                                      | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13305 | PA      | $12761.17     | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AM7532                                       | CUSIP: 36184YLM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24015 | PA      | $22189.71     | 0.05%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 379 1                               | CUSIP: 3136FENW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    453416 | PA      | $368845.25    | 0.77%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6818                                      | CUSIP: 36179VSF8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1096552 | PA      | $954969.03    | 1.99%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7052                                      | CUSIP: 36179VZR4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    185998 | PA      | $166530.80    | 0.35%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783384                                       | CUSIP: 36241LXM3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     94392 | PA      | $98842.68     | 0.21%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7255                                      | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    315050 | PA      | $282003.65    | 0.59%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 620469                                       | CUSIP: 36290XJN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27934 | PA      | $28624.10     | 0.06%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3930 AI                                    | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     94329 | PA      | $3805.98      | 0.01%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-165 I           | CUSIP: 38379FK73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    370497 | PA      | $48535.22     | 0.10%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-91 NC           | CUSIP: 38378E3P6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    265963 | PA      | $241902.77    | 0.50%             | 2042-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-21 WI                                  | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    116942 | PA      | $4361.88      | 0.01%             | 2055-04-25      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 621382                                       | CUSIP: 36290YJ33<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9870 | PA      | $10059.45     | 0.02%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-126 IO          | CUSIP: 38378H3E4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    231415 | PA      | $34643.19     | 0.07%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 646863                                       | CUSIP: 36292ETU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9202 | PA      | $9454.03      | 0.02%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA0852                                      | CUSIP: 36179M5M8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    681298 | PA      | $660894.68    | 1.37%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 419422                                         | CUSIP: 31379G4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       831 | PA      | $828.85       | 0.00%             | 2028-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550753                                       | CUSIP: 36213CZS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1028 | PA      | $1062.04      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 616413                                       | CUSIP: 36290SYJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14793 | PA      | $15333.75     | 0.03%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA0393                                      | CUSIP: 36179MNJ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    739846 | PA      | $736482.04    | 1.53%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2014-68 ID                                  | CUSIP: 3136ALQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    329824 | PA      | $19163.35     | 0.04%             | 2034-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 432848                                       | CUSIP: 36207HZM2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1117 | PA      | $1123.68      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI          | CUSIP: 38380GZW7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    101774 | PA      | $19448.58     | 0.04%             | 2047-09-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-13 MP                                  | CUSIP: 3136B02D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    256687 | PA      | $245840.68    | 0.51%             | 2057-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-53 IA           | CUSIP: 38379LG91<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    305956 | PA      | $57128.58     | 0.12%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 619302                                       | CUSIP: 36290WAB8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13140 | PA      | $13421.10     | 0.03%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-77 JY           | CUSIP: 38380XPW1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    245500 | PA      | $230175.47    | 0.48%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AO0289                                       | CUSIP: 3617A0KA3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    207982 | PA      | $192171.86    | 0.40%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -5 | NC      | $-572578.13   | -1.19%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5263                                      | CUSIP: 36179TZ40<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    277672 | PA      | $265986.55    | 0.55%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 3977                                        | CUSIP: 36202EM22<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     32978 | PA      | $35076.55     | 0.07%             | 2037-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-136 PJ          | CUSIP: 38380BQJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    364000 | PA      | $329162.80    | 0.68%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783237                                       | CUSIP: 36241LS23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    290285 | PA      | $288409.57    | 0.60%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 784460                                       | CUSIP: 3622A25V0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     71797 | PA      | $71339.65     | 0.15%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-21 DI           | CUSIP: 38378Y2A6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    223871 | PA      | $6587.86      | 0.01%             | 2026-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7418                                      | CUSIP: 36179WG36<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    123698 | PA      | $110533.69    | 0.23%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4166 PI                                    | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    123492 | PA      | $5181.03      | 0.01%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605098                                       | CUSIP: 36200NGF2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     17443 | PA      | $18022.10     | 0.04%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEB             | CUSIP: 21H030625<br>LEI: N/A                  | Long             | DBT              |  | US        |   4185000 | PA      | $3844314.84   | 8.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI          | CUSIP: 38380CEN9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    257226 | PA      | $38956.70     | 0.08%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 455367                                       | CUSIP: 36208MZ81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1013 | PA      | $1039.78      | 0.00%             | 2027-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 521917                                       | CUSIP: 36211SYN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       169 | PA      | $168.63       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3803                                      | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     50282 | PA      | $48221.91     | 0.10%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BD3961                                      | CUSIP: 3617BKMJ7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28217 | PA      | $27608.53     | 0.06%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-3 JI                                   | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30569 | PA      | $1228.02      | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BE6414                                      | CUSIP: 3617G1DT2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19957 | PA      | $19488.19     | 0.04%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 190291                                         | CUSIP: 31368HKC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        36 | PA      | $37.46        | 0.00%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7649                                      | CUSIP: 36179WQA9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1171003 | PA      | $1045000.87   | 2.17%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4837                                      | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31197 | PA      | $29865.77     | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 633252                                       | CUSIP: 36291NQD6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14604 | PA      | $14903.17     | 0.03%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4962                                      | CUSIP: 36179TQP3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    260485 | PA      | $250095.28    | 0.52%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 485850                                       | CUSIP: 36209YWK0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       859 | PA      | $905.06       | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4897                                      | CUSIP: 36179TNN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    303165 | PA      | $261987.17    | 0.55%             | 2045-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6598                                      | CUSIP: 36179VKK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    223462 | PA      | $200582.22    | 0.42%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 597962                                       | CUSIP: 36200DJF1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       530 | PA      | $540.00       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-185 GI          | CUSIP: 38379F3V9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    189887 | PA      | $6128.63      | 0.01%             | 2041-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781636                                       | CUSIP: 36225BY93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     23808 | PA      | $25210.17     | 0.05%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-144 BI          | CUSIP: 38379ER38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     81559 | PA      | $4583.14      | 0.01%             | 2029-09-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7051                                      | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    640711 | PA      | $556426.45    | 1.16%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 446971                                       | CUSIP: 36208CQY6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6991 | PA      | $7124.08      | 0.01%             | 2027-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 30YR TBA (FEB)           | CUSIP: 21H040624<br>LEI: N/A                  | Long             | DBT              |  | US        |    301000 | PA      | $292205.16    | 0.61%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 3735                                        | CUSIP: 36202EEG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     32369 | PA      | $33547.62     | 0.07%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 5258                                        | CUSIP: 36202FZX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    449813 | PA      | $435697.59    | 0.91%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781288                                       | CUSIP: 36225BND6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8259 | PA      | $8578.42      | 0.02%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550567                                       | CUSIP: 36213CTY6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2357 | PA      | $2434.10      | 0.01%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 613931                                       | CUSIP: 36290QA88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2945 | PA      | $3023.82      | 0.01%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 743711                                       | CUSIP: 3620AYGU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3688 | PA      | $3779.48      | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4003                                      | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6539 | PA      | $6106.39      | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 AT4121                                      | CUSIP: 36194CSJ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    277456 | PA      | $265967.72    | 0.55%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-107 JI          | CUSIP: 38380TE93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    357011 | PA      | $53732.46     | 0.11%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4004                                      | CUSIP: 36179SNV5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     51696 | PA      | $49578.56     | 0.10%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 628397                                       | CUSIP: 36291HDA9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2249 | PA      | $2264.25      | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 755655                                       | CUSIP: 36230QH84<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     33218 | PA      | $33000.57     | 0.07%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3 SCRT 2019-3 MT  | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    196819 | PA      | $185468.05    | 0.39%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 643412                                         | CUSIP: 31390DYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1804 | PA      | $1799.13      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7650                                      | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    562750 | PA      | $516916.39    | 1.08%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 642208                                       | CUSIP: 36291YNZ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1990 | PA      | $2046.91      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-163 BC          | CUSIP: 38380KNR2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    231000 | PA      | $194511.40    | 0.40%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604566                                       | CUSIP: 36200MTX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16620 | PA      | $17108.25     | 0.04%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4182 IE                                    | CUSIP: 3137B0WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    138951 | PA      | $6146.15      | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 650385                                       | CUSIP: 36292JRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     34781 | PA      | $35508.30     | 0.07%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                     | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -977000 | PA      | $-916184.16   | -1.91%            | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         4 | NC      | $436968.75    | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AO8421                                       | CUSIP: 3617A9LA3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     77243 | PA      | $71387.43     | 0.15%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2754                                      | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     34889 | PA      | $33529.18     | 0.07%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 697699                                       | CUSIP: 36296QDC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24754 | PA      | $25807.21     | 0.05%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783129                                       | CUSIP: 36241LPN0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    105488 | PA      | $104814.26    | 0.22%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-182 LZ          | CUSIP: 38380UBE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    145565 | PA      | $101335.89    | 0.21%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-130 IO          | CUSIP: 38380GAS3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    156630 | PA      | $25598.85     | 0.05%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781995                                       | CUSIP: 36241KGC6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28548 | PA      | $29870.88     | 0.06%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4261                                      | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    181857 | PA      | $169085.04    | 0.35%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BF1236                                      | CUSIP: 3617G7LR4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13731 | PA      | $13413.64     | 0.03%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-79 BZ           | CUSIP: 38378THG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    367385 | PA      | $327836.45    | 0.68%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 410 C6                              | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     39992 | PA      | $1427.63      | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6996                                      | CUSIP: 36179VXZ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     63014 | PA      | $58338.30     | 0.12%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AJ3935                                       | CUSIP: 36182YLQ0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    163191 | PA      | $150785.90    | 0.31%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2891                                      | CUSIP: 36179RF87<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    428680 | PA      | $402895.76    | 0.84%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4963                                      | CUSIP: 36179TQQ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28553 | PA      | $28095.04     | 0.06%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-42 EI           | CUSIP: 38379V5S9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    254189 | PA      | $45205.51     | 0.09%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-17 EI           | CUSIP: 38382CJ51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    173052 | PA      | $32481.33     | 0.07%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-49 PZ           | CUSIP: 38379WGC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    237485 | PA      | $184987.13    | 0.38%             | 2045-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780628                                       | CUSIP: 36225AVV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       405 | PA      | $406.04       | 0.00%             | 2027-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AM7287                                       | CUSIP: 36184YCY1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     37000 | PA      | $34186.88     | 0.07%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US ULTRA BOND CBT MAR23 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         1 | NC      | $141750.00    | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6994                                      | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3068848 | PA      | $2669405.26   | 5.55%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 784718                                       | CUSIP: 3622AADX9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     37747 | PA      | $33746.52     | 0.07%             | 2046-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 479446                                       | CUSIP: 36209RTB9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2759 | PA      | $2756.75      | 0.01%             | 2030-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3802                                      | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    156078 | PA      | $145908.33    | 0.30%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 778612                                       | CUSIP: 36176WYH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    207880 | PA      | $205495.39    | 0.43%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 514832                                       | CUSIP: 36211J4R5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       794 | PA      | $793.17       | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-1520 X1 | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    602678 | PA      | $24896.51     | 0.05%             | 2036-02-25      | Floating      | 0.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4018 AI                                    | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    111417 | PA      | $4017.26      | 0.01%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 668876                                       | CUSIP: 36295FCM4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     10816 | PA      | $11067.87     | 0.02%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 677085                                       | CUSIP: 36295QF21<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3508 | PA      | $3623.74      | 0.01%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 X1   | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1624158 | PA      | $44005.26     | 0.09%             | 2027-06-25      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 625550                                       | CUSIP: 36291D5K5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11030 | PA      | $11220.75     | 0.02%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL 30YR TBA (FEBRUARY)                             | CUSIP: 01N052624<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |   -725000 | PA      | $-739358.39   | -1.54%            | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4586                                      | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1427885 | PA      | $1369614.51   | 2.85%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA0784                                      | CUSIP: 36179M2R0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     75004 | PA      | $74663.01     | 0.16%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-98 BI                                  | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    104249 | PA      | $11036.92     | 0.02%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AB9107                                       | CUSIP: 36178WDL0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     41953 | PA      | $39700.00     | 0.08%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 738506                                       | CUSIP: 3620ASNX3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6071 | PA      | $5966.97      | 0.01%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4247 LA                                    | CUSIP: 3137B4HR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    274496 | PA      | $255939.95    | 0.53%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550718                                       | CUSIP: 36213CYP9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31979 | PA      | $33040.52     | 0.07%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4779                                      | CUSIP: 36179TJY2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7504 | PA      | $7386.78      | 0.02%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 475338                                      | CUSIP: 36209MBF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     39753 | PA      | $37830.34     | 0.08%             | 2041-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 693518                                       | CUSIP: 36296KPB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     61860 | PA      | $64200.10     | 0.13%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 461129                                       | CUSIP: 36208UHE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2924 | PA      | $2921.25      | 0.01%             | 2028-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-69 AI           | CUSIP: 38378EPV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     38231 | PA      | $993.13       | 0.00%             | 2027-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 619298                                       | CUSIP: 36290V7K4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24784 | PA      | $25314.28     | 0.05%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 373342                                         | CUSIP: 31377CWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      4127 | PA      | $4146.02      | 0.01%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-161 GI          | CUSIP: 38380BA21<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    128498 | PA      | $20621.57     | 0.04%             | 2046-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 738855                                       | CUSIP: 3620ASZU6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3640 | PA      | $3602.36      | 0.01%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 393374                                       | CUSIP: 36205K6K3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1300 | PA      | $1300.79      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 AU2010                                      | CUSIP: 36194PGT5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    286137 | PA      | $274275.28    | 0.57%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3596                                      | CUSIP: 36179R7H6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    231999 | PA      | $217264.08    | 0.45%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2959                                      | CUSIP: 36179RJC4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    267194 | PA      | $242128.00    | 0.50%             | 2045-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6931                                      | CUSIP: 36179VVY3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    175931 | PA      | $157518.67    | 0.33%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 595273                                       | CUSIP: 36200AJS9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       889 | PA      | $938.84       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 550677                                       | CUSIP: 36213CXE5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2062 | PA      | $2129.99      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 510723                                       | CUSIP: 36211ELC0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       306 | PA      | $306.09       | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 490925                                       | CUSIP: 36210FLE4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2695 | PA      | $2767.55      | 0.01%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 633178                                       | CUSIP: 36291NM32<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3839 | PA      | $3909.90      | 0.01%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4125                                      | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    237095 | PA      | $214855.83    | 0.45%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604994                                       | CUSIP: 36200NC74<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2312 | PA      | $2389.21      | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-17 BI           | CUSIP: 38379JKC4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    329050 | PA      | $49863.14     | 0.10%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 613767                                       | CUSIP: 36290NZ88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      2104 | PA      | $2146.07      | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-2 AI            | CUSIP: 38380CNU3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    182508 | PA      | $37443.96     | 0.08%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 615607                                       | CUSIP: 36290R3Q4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    215404 | PA      | $222548.51    | 0.46%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 784924                                      | CUSIP: 3622AALD4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    398152 | PA      | $371881.24    | 0.77%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6092                                      | CUSIP: 36179UXV9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    150521 | PA      | $150234.08    | 0.31%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-18 IC           | CUSIP: 38379JZD6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    204523 | PA      | $11799.35     | 0.02%             | 2030-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4178 MI                                    | CUSIP: 3137B06E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    148357 | PA      | $6130.15      | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2010-126 NI                                 | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    156616 | PA      | $22535.36     | 0.05%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783234                                       | CUSIP: 36241LSX5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     72386 | PA      | $71916.75     | 0.15%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4451                                      | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     61870 | PA      | $59495.50     | 0.12%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-43 IA           | CUSIP: 38381TR23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    139101 | PA      | $22599.12     | 0.05%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3663                                      | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    345900 | PA      | $331952.28    | 0.69%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780912                                       | CUSIP: 36225BAM0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3994 | PA      | $4139.45      | 0.01%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2524                                      | CUSIP: 36179QYV7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     35717 | PA      | $36886.64     | 0.08%             | 2045-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA1523                                      | CUSIP: 36179NVQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28295 | PA      | $29190.76     | 0.06%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5264                                      | CUSIP: 36179TZ57<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     85043 | PA      | $83282.14     | 0.17%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-26 JI           | CUSIP: 38376VPU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    263478 | PA      | $55190.86     | 0.11%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA5077                                      | CUSIP: 36179TUA1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    291097 | PA      | $278864.19    | 0.58%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4176 KI                                    | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    206527 | PA      | $7688.79      | 0.02%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 457587                                       | CUSIP: 36208QJ80<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1185 | PA      | $1208.97      | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7254                                      | CUSIP: 36179WBX5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    236034 | PA      | $205115.86    | 0.43%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AL2583                                       | CUSIP: 36183X2Q2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     67811 | PA      | $62655.54     | 0.13%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA2753                                      | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    427116 | PA      | $401868.55    | 0.84%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2020-M2 X                                     | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    840011 | PA      | $9567.72      | 0.02%             | 2030-01-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783252                                       | CUSIP: 36241LTH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    487614 | PA      | $505383.36    | 1.05%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                            | CUSIP: 21H022622<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |   -853000 | PA      | $-760261.06   | -1.58%            | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 528714                                       | CUSIP: 36212BK36<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7791 | PA      | $7815.90      | 0.02%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4235                                        | CUSIP: 36202EV48<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6791 | PA      | $6847.48      | 0.01%             | 2038-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-163 YA          | CUSIP: 38380KLU7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    225000 | PA      | $187724.68    | 0.39%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3103                                      | CUSIP: 36179RNU9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24929 | PA      | $22589.47     | 0.05%             | 2045-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 542079                                       | CUSIP: 36212SFU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       657 | PA      | $659.70       | 0.00%             | 2031-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780650                                       | CUSIP: 36225AWK2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1323 | PA      | $1371.43      | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 399884                                         | CUSIP: 31378JFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1091 | PA      | $1088.31      | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IA           | CUSIP: 38380CF81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    293384 | PA      | $48792.18     | 0.10%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 632259                                       | CUSIP: 36291MMG5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     27592 | PA      | $28348.36     | 0.06%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                            | CUSIP: 21H050623<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |   -200000 | PA      | $-201359.37   | -0.42%            | 2053-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7767                                      | CUSIP: 36179WTY4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    257314 | PA      | $229544.14    | 0.48%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2019-9 CL                                   | CUSIP: 3136B35F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    651754 | PA      | $618441.48    | 1.29%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4652                                      | CUSIP: 36179TEZ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    450268 | PA      | $431550.04    | 0.90%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 GI           | CUSIP: 38378EAS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    143863 | PA      | $5755.76      | 0.01%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6656                                      | CUSIP: 36179VMD9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    471583 | PA      | $436682.17    | 0.91%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 781430                                       | CUSIP: 36225BST6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       446 | PA      | $472.92       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 605231                                       | CUSIP: 36200NLL3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1173 | PA      | $1211.46      | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 594078                                       | CUSIP: 36201U6P4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     61451 | PA      | $61878.76     | 0.13%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 465528                                       | CUSIP: 36209AD98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5448 | PA      | $5594.11      | 0.01%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 520992                                       | CUSIP: 36211RXV6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3884 | PA      | $3984.34      | 0.01%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AL3006                                       | CUSIP: 36183YKT4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     48372 | PA      | $44695.24     | 0.09%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 544217                                       | CUSIP: 36212USE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     46824 | PA      | $48311.50     | 0.10%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 785009                                       | CUSIP: 3622AAN26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    327966 | PA      | $324681.55    | 0.68%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4719                                      | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     37638 | PA      | $36189.30     | 0.08%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 353812                                       | CUSIP: 36203NAM0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7607 | PA      | $7646.01      | 0.02%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7534                                      | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    734985 | PA      | $656484.74    | 1.37%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604801                                       | CUSIP: 36200M3J0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      9923 | PA      | $10079.27     | 0.02%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 600270                                       | CUSIP: 36200F2B3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      4768 | PA      | $4850.44      | 0.01%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 615413                                       | CUSIP: 36290RVE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     67122 | PA      | $69135.72     | 0.14%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 780656                                       | CUSIP: 36225AWR7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       988 | PA      | $1026.40      | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 401789                                         | CUSIP: 31378LKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        87 | PA      | $86.68        | 0.00%             | 2027-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4978 MI                                    | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    200616 | PA      | $29634.65     | 0.06%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6865                                      | CUSIP: 36179VTW0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     85185 | PA      | $76822.59     | 0.16%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN AL9337                                       | CUSIP: 36184HLS1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     67703 | PA      | $62571.06     | 0.13%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783390                                       | CUSIP: 36241LXT8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    125779 | PA      | $124359.59    | 0.26%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 390313                                         | CUSIP: 31377XSA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        64 | PA      | $64.26        | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 583674                                       | CUSIP: 36201HMX8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1137 | PA      | $1169.78      | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 583126                                       | CUSIP: 36201GYX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30443 | PA      | $31312.03     | 0.07%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-113 BZ          | CUSIP: 38378HTS5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    211248 | PA      | $178927.61    | 0.37%             | 2042-09-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-138 LE          | CUSIP: 38382J2C9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    172197 | PA      | $142482.13    | 0.30%             | 2050-09-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 431000                                       | CUSIP: 36207FX55<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       714 | PA      | $713.24       | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA7705                                      | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2751176 | PA      | $2454500.13   | 5.11%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3662                                      | CUSIP: 36179SB71<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13007 | PA      | $12167.49     | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-99 AX           | CUSIP: 38378VPP4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     62308 | PA      | $56882.52     | 0.12%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 2657                                        | CUSIP: 36202C5S8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11487 | PA      | $12064.32     | 0.03%             | 2028-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA4262                                      | CUSIP: 36179SWX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    270723 | PA      | $259633.00    | 0.54%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-53 BI                                  | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33684 | PA      | $1637.34      | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-99 LI           | CUSIP: 38379XH52<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    452868 | PA      | $16717.21     | 0.03%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-25 AL                                  | CUSIP: 3136B1VB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     49000 | PA      | $44297.17     | 0.09%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604839                                       | CUSIP: 36200M4Y6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8533 | PA      | $8815.85      | 0.02%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 762752                                       | CUSIP: 36176DEZ2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     28406 | PA      | $29452.35     | 0.06%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 BE6810                                      | CUSIP: 3617G1R75<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     26352 | PA      | $25726.91     | 0.05%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 644748                                       | CUSIP: 36292CHZ0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     31205 | PA      | $32116.98     | 0.07%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO