# EDGAR Filing Document

**Accession Number:** 0000730044
**File Stem:** 0001752724-23-041463
**Filing Date:** 2023-2
**Character Count:** 140587
**Document Hash:** 3d08acae74ebcefc46bd579d5e5d378b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-041463.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001752724-23-041463

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY U.S. GOVERNMENT SECURITIES TRUST
- **CENTRAL INDEX KEY:** 0000730044
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03870
- **FILM NUMBER:** 23671437

**BUSINESS ADDRESS:**
- **STREET 1:** 522 FIFTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-869-6397

**MAIL ADDRESS:**
- **STREET 1:** 522 FIFTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY US GOVERNMENT SECURITIES TRUST
- **DATE OF NAME CHANGE:** 20010618

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY DEAN WITTER US GOVERNMENT SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19980622

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WITTER DEAN U S GOVERNMENT SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Morgan Stanley US Government Securities Trust (Series ID: S000002426)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006467 | A            | USGAX           |
| C000006469 | L            | USGCX           |
| C000006470 | I            | USGDX           |
| C000155939 | Class C      | MSGVX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY U.S. GOVERNMENT SECURITIES TRUST

- **b. Investment Company Act file number:** 811-03870

- **c. CIK number of Registrant:** 0000730044

- **d. LEI of Registrant:** 5493009GJO3TMFRP8I30

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

  - **Street Address 1:** 522 FIFTH AVENUE

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-548-7786

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

- **a. Name of Series:** Morgan Stanley U.S. Government Securities Trust

- **b. EDGAR series identifier (if any):** S000002426

- **c. LEI of Series:** 5493009GJO3TMFRP8I30

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $300764829.48

**Total Liabilities:** $61790206.03

**Net Assets:** $238974623.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -569.58000000 | **1-Year:** -4044.46000000 | **5-Year:** -11380.82000000 | **10-Year:** -21418.48000000 | **30-Year:** -6287.54000000

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

- **3-Month:** -121.27000000 | **1-Year:** -1147.41000000 | **5-Year:** -2680.68000000 | **10-Year:** -3111.04000000 | **30-Year:** -381.02000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000006467 | -1.96%               | 3.70%                | -0.82%               |
| Class ID C000006469 | -1.97%               | 3.50%                | -0.70%               |
| Class ID C000155939 | -2.01%               | 3.46%                | -0.74%               |
| Class ID C000006470 | -1.79%               | 3.58%                | -0.65%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6258665.06             | $1588114.67                                |
| Month 2  | $-617928.73              | $7723133.75                                |
| Month 3  | $1419467.91              | $-3471318.62                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Government/Mortgage Index

- **Index Identifier:** BBG_US_GOVTMTG

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Credit Suisse Mortgage Trust                                            | CSMC 2021-980M                                                   | CUSIP: 12659RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1665372.25   | 0.70%             | 2031-07-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2250000 | PA      | $2071318.37   | 0.87%             | 2026-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138Y6Y40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56776 | PA      | $56203.83     | 0.02%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                     | Petroleos Mexicanos                                              | CUSIP: 71654QBY7<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    772500 | PA      | $738064.32    | 0.31%             | 2025-12-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3444035.15   | 1.44%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35131 | PA      | $34102.90     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31402RSA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264566 | PA      | $271985.91    | 0.11%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138AUDE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521491 | PA      | $504332.95    | 0.21%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31391PNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1219 | PA      | $1277.91      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BSREP Commercial Mortgage Trust 2021-DC                                 | BSREP Commercial Mortgage Trust 2021-DC                          | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $740059.05    | 0.31%             | 2038-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2020-3                | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1291626 | PA      | $1151746.73   | 0.48%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36206YS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       880 | PA      | $905.45       | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36207QRP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       312 | PA      | $321.79       | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                        | WFRBS Commercial Mortgage Trust 2013-UBS1                        | CUSIP: 92938JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6222021 | PA      | $30239.33     | 0.01%             | 2046-03-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust                                                      | BF 2019-NYT Mortgage Trust                                       | CUSIP: 62954PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1294128.71   | 0.54%             | 2035-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                        | WFRBS Commercial Mortgage Trust 2013-C17                         | CUSIP: 92938GAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12761992 | PA      | $69558.60     | 0.03%             | 2046-12-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418DHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155382 | PA      | $135670.60    | 0.06%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137B36J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2676360 | PA      | $2667597.64   | 1.12%             | 2023-02-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132L7GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155475 | PA      | $150002.64    | 0.06%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                                        | NMEF Funding 2022-B LLC                                          | CUSIP: 62890MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015000 | PA      | $1014307.87   | 0.42%             | 2029-06-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-1                | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1021838 | PA      | $907497.25    | 0.38%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210SFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5869 | PA      | $5993.62      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329200 | PA      | $333199.73    | 0.14%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210NWB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4186 | PA      | $4192.55      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36291L5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38613 | PA      | $39327.96     | 0.02%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132HLGK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646031 | PA      | $604410.61    | 0.25%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31419LDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401089 | PA      | $405965.16    | 0.17%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97864 | PA      | $99061.38     | 0.04%             | 2036-06-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31417V4Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73851 | PA      | $73310.83     | 0.03%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of Oregon Department of Transportation                            | OREGON ST DEPT OF TRANSPRTN HIGHWAY USER TAX REVENUE             | CUSIP: 68607DNL5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2575000 | PA      | $2768927.63   | 1.16%             | 2034-11-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Non Gold Pool                                        | CUSIP: 3128QJMU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98410 | PA      | $98596.80     | 0.04%             | 2036-11-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140F5A37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1078105 | PA      | $969977.95    | 0.41%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                   | MET TRANSPRTN AUTH NY REVENUE                                    | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   1450000 | PA      | $1501785.74   | 0.63%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210YYN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6461 | PA      | $6560.24      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137H7MB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24115241 | PA      | $637809.55    | 0.27%             | 2032-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52670 | PA      | $53552.56     | 0.02%             | 2036-07-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2018-2                | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1120601 | PA      | $997321.83    | 0.42%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36224YLX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       572 | PA      | $572.42       | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                         | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245118 | PA      | $53420.57     | 0.02%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXFR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120743 | PA      | $123272.72    | 0.05%             | 2040-08-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20838 | PA      | $21267.98     | 0.01%             | 2039-03-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210RUA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3210 | PA      | $3394.53      | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159260 | PA      | $161076.48    | 0.07%             | 2036-04-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 91282CCU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18800000 | PA      | $18232910.78  | 7.63%             | 2023-08-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209CMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6445 | PA      | $6546.28      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1106285 | PA      | $1066709.08   | 0.45%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                                 | SG Commercial Mortgage Securities Trust 2019-787E                | CUSIP: 78426RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1157103.42   | 0.48%             | 2041-02-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Onondaga Civic Development Corp                                         | ONONDAGA NY CIVIC DEV CORP                                       | CUSIP: 682832GD6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1400000 | PA      | $865440.80    | 0.36%             | 2055-12-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $3076227.68   | 1.29%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust                          | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387468 | PA      | $332340.38    | 0.14%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3128MJ6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210538 | PA      | $187957.01    | 0.08%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8525000 | PA      | $8218632.39   | 3.44%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36212DRT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14904 | PA      | $15912.45     | 0.01%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Bill                                      | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2370000 | PA      | $2350369.29   | 0.98%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                                           | Life 2022-BMR Mortgage Trust                                     | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1345821.81   | 0.56%             | 2039-05-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2017-SC02                | CUSIP: 3137G1BV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56630 | PA      | $49336.86     | 0.02%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138A4JG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35732 | PA      | $36186.09     | 0.02%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21451 | PA      | $21105.20     | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                      | Ellington Financial Mortgage Trust 2017-1                        | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595699 | PA      | $484954.97    | 0.20%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36207HTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1054 | PA      | $1083.10      | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| North Carolina State University at Raleigh                              | NORTH CAROLINA ST UNIV AT RALEIGH                                | CUSIP: 658289L43<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1725000 | PA      | $1153540.10   | 0.48%             | 2039-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Los Angeles Unified School District/CA                                  | LOS ANGELES CA UNIF SCH DIST                                     | CUSIP: 544646XZ0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5980000 | PA      | $6256055.94   | 2.62%             | 2034-07-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Private Education Refi Loan Trust 2021-E                 | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    929204 | PA      | $779392.53    | 0.33%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US LONG BOND(CBT) MAR23                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -27 | NC      | $-843.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36205SR72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1503 | PA      | $1525.34      | 0.00%             | 2024-07-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209FA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5680 | PA      | $5740.53      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    404157 | PA      | $376822.19    | 0.16%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WEW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431741 | PA      | $390464.24    | 0.16%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36206VZN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       897 | PA      | $924.27       | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON AIRCRAFT 1 CO                                                | Washington Aircraft 1 Co DAC                                     | CUSIP: 937255AA5<br>LEI: 213800XOHU4D876A7L42 | Long             | DBT              | CORP              | IE        |    754089 | PA      | $717850.07    | 0.30%             | 2026-09-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Non Gold Pool                                        | CUSIP: 3128QSYV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152420 | PA      | $152976.89    | 0.06%             | 2036-10-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209T4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4937 | PA      | $5032.29      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $3920390.63   | 1.64%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US ULTRA BOND CBT MAR23                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       106 | NC      | $-60419.00    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Imperial Fund LLC                                                       | Imperial Fund Mortgage Trust 2021-NQM3                           | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482220 | PA      | $398999.75    | 0.17%             | 2056-11-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                        | WFRBS Commercial Mortgage Trust 2013-C15                         | CUSIP: 92938CAG2<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |   9829843 | PA      | $8233.97      | 0.00%             | 2046-08-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2014-CR14 Mortgage Trust                                    | CUSIP: 12630DAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21563872 | PA      | $80348.06     | 0.03%             | 2047-02-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                            | BAMLL Commercial Mortgage Securities Trust 2022-DKLX             | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425000 | PA      | $1376602.44   | 0.58%             | 2039-01-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210MTV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2408 | PA      | $2439.82      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXH43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275718 | PA      | $277400.02    | 0.12%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2015-GC33                    | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12936238 | PA      | $243372.03    | 0.10%             | 2058-09-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Missouri Highway & Transportation Commission                            | MISSOURI ST HIGHWAY & TRANSPRTN COMMISSION STATE ROAD REVENU     | CUSIP: 60636WNU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6245000 | PA      | $6448577.01   | 2.70%             | 2033-05-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138E2VY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994327 | PA      | $1929601.93   | 0.81%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942401 | PA      | $25164.74     | 0.01%             | 2041-08-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1877811.50   | 0.79%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669225 | PA      | $617877.47    | 0.26%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                         | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd           | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    670000 | PA      | $637118.58    | 0.27%             | 2034-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                                          | CAMB Commercial Mortgage Trust 2019-LIFE                         | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $593027.22    | 0.25%             | 2037-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                     | COMM 2013-LC13 Mortgage Trust                                    | CUSIP: 12626GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4663090 | PA      | $18032.40     | 0.01%             | 2046-08-10      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-ADV                                                    | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1250142.79   | 0.52%             | 2038-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                               | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1735060 | PA      | $133399.90    | 0.06%             | 2043-11-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140F9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778375 | PA      | $725585.53    | 0.30%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210VF55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11025 | PA      | $11194.72     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209A6R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3727 | PA      | $3940.82      | 0.00%             | 2030-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145567 | PA      | $155472.50    | 0.07%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                                      | Galton Funding Mortgage Trust 2019-2                             | CUSIP: 36418AAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140489 | PA      | $126748.27    | 0.05%             | 2059-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138AXVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390746 | PA      | $378046.89    | 0.16%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58635 | PA      | $56377.15     | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TTAN                                                                    | TTAN 2021-MHC                                                    | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602573 | PA      | $585923.52    | 0.25%             | 2038-03-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31385XJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7134 | PA      | $7444.35      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418DD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118171 | PA      | $103549.63    | 0.04%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WHYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260978 | PA      | $1136086.13   | 0.48%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3129366Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424364 | PA      | $439082.57    | 0.18%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                                   | Tennessee Valley Authority                                       | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6935000 | PA      | $7223547.04   | 3.02%             | 2039-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                       | Imperial Fund Mortgage Trust 2022-NQM1                           | CUSIP: 452766AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876198 | PA      | $762625.56    | 0.32%             | 2067-02-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 31323AEL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26826 | PA      | $24317.27     | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                                 | BDS 2021-FL8                                                     | CUSIP: 05493JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    565330 | PA      | $546407.53    | 0.23%             | 2036-01-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-4                | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    504414 | PA      | $445032.47    | 0.19%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WEZA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867470 | PA      | $834404.17    | 0.35%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36202DCU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35979 | PA      | $37271.67     | 0.02%             | 2029-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust                                                   | Worldwide Plaza Trust 2017-WWP                                   | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $926698.08    | 0.39%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| VMC Finance LLC                                                         | VMC Finance 2019-FL3 LLC                                         | CUSIP: 91834PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    181454 | PA      | $175134.83    | 0.07%             | 2036-09-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Non Gold Pool                                        | CUSIP: 31300MVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519922 | PA      | $524189.74    | 0.22%             | 2043-06-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2017-SC02                | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    383207 | PA      | $328341.83    | 0.14%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443651 | PA      | $408918.07    | 0.17%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                 | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                        | CUSIP: 072024ND0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |   3615000 | PA      | $4108927.93   | 1.72%             | 2049-04-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1675000 | PA      | $1438733.39   | 0.60%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138A7K49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121603 | PA      | $123116.38    | 0.05%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135788 | PA      | $144509.40    | 0.06%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31383HNK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5907 | PA      | $6078.50      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2018-1                | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1254225 | PA      | $1109400.96   | 0.46%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209FJT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4714 | PA      | $4769.00      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust                               | Taubman Centers Commercial Mortgage Trust 2022-DPM               | CUSIP: 87666YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375000 | PA      | $1338535.55   | 0.56%             | 2037-05-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                          | Cascade Funding Mortgage Trust 2018-RM2                          | CUSIP: 14727QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550046 | PA      | $531266.65    | 0.22%             | 2068-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2760000 | PA      | $2691972.76   | 1.13%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2016-SC02                | CUSIP: 3137G1BD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146138 | PA      | $128257.81    | 0.05%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 10YR NOTE (CBT)MAR23                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        48 | NC      | $-39306.64    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138X1ZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678437 | PA      | $1623638.78   | 0.68%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Trust 2013-GC16                           | CUSIP: 36248GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8507584 | PA      | $37653.72     | 0.02%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                 | CUSIP: 3133N3VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88593 | PA      | $77354.54     | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3617J7FM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3676 | PA      | $3695.65      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2015-SC02                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    242604 | PA      | $210437.06    | 0.09%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132QMN80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411011 | PA      | $384006.62    | 0.16%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1275000 | PA      | $1159751.28   | 0.49%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209KLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8712 | PA      | $8897.33      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Private Education Refi Loan Trust 2022-B                 | CUSIP: 63942PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513957 | PA      | $480837.20    | 0.20%             | 2070-10-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2018-4                | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1072214 | PA      | $949536.21    | 0.40%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342096 | PA      | $326330.59    | 0.14%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36194TQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295723 | PA      | $274867.41    | 0.12%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210BB61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1158 | PA      | $1168.13      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-2                | CUSIP: 35563PKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    446327 | PA      | $396455.81    | 0.17%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32149709 | PA      | $446326.37    | 0.19%             | 2027-11-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36207H2H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       199 | PA      | $203.29       | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210UZD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7234 | PA      | $7390.67      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-4                | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    374082 | PA      | $351407.02    | 0.15%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust                          | CUSIP: 3137G1BL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220751 | PA      | $192534.78    | 0.08%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210A6F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28287 | PA      | $28801.21     | 0.01%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WJ4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761215 | PA      | $708875.36    | 0.30%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138EGS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347428 | PA      | $344403.17    | 0.14%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36205TJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1727 | PA      | $1779.12      | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36241LCE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60315 | PA      | $61410.28     | 0.03%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SWAP GOLDMAN SACHS COC                                                  | SWAP GOLDMAN SACHS COC                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    310000 | NS      | $310000.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2020-EXP1 Trust                                              | CUSIP: 67448TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177191 | PA      | $154603.21    | 0.06%             | 2060-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210D3C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8973 | PA      | $9158.19      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                                  | Natixis Commercial Mortgage Securities Trust 2022-JERI           | CUSIP: 63875LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1389552.26   | 0.58%             | 2039-01-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXJL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17799 | PA      | $18085.75     | 0.01%             | 2039-09-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210CLJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20403 | PA      | $20802.43     | 0.01%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3850000 | PA      | $3707184.06   | 1.55%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $946406.25    | 0.40%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                        | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137B7MZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3429000 | PA      | $3382140.83   | 1.42%             | 2023-10-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program 2021-A LLC                                   | ELFI Graduate Loan Program 2021-A LLC                            | CUSIP: 28628BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    803512 | PA      | $702870.86    | 0.29%             | 2046-12-26      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                                  | Natixis Commercial Mortgage Securities Trust 2021-APPL           | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1118766.64   | 0.47%             | 2038-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341230 | PA      | $328916.40    | 0.14%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2015-GC35                    | CUSIP: 17324KAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4845906 | PA      | $79281.20     | 0.03%             | 2048-11-10      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36212VVM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6603 | PA      | $6959.85      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 5YR NOTE (CBT) MAR23                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        87 | NC      | $-96676.64    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust 2022-LTV2                             | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348589 | PA      | $1178160.82   | 0.49%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2016-SC01                | CUSIP: 3137G1AW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116841 | PA      | $102580.81    | 0.04%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4050000 | PA      | $3994314.32   | 1.67%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418CX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110064 | PA      | $105825.55    | 0.04%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210CJV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       609 | PA      | $619.61       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98098 | PA      | $88839.54     | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SWAP WELLS FARGO COC                                                    | SWAP WELLS FARGO COC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    310000 | NS      | $310000.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                | Ajax Mortgage Loan Trust 2020-B                                  | CUSIP: 00969YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654636 | PA      | $552400.41    | 0.23%             | 2059-05-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210GSE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7974 | PA      | $8135.46      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1120067 | PA      | $1070343.93   | 0.45%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB  | CUSIP: 46593EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1552071.04   | 0.65%             | 2039-03-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140E7GS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132671 | PA      | $127821.61    | 0.05%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                   | Wells Fargo Commercial Mortgage Trust 2020-SDAL                  | CUSIP: 95002GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $772761.04    | 0.32%             | 2037-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36216AJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4169 | PA      | $4246.12      | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 91282CDA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2416981.70   | 1.01%             | 2023-09-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| State of Washington                                                     | WASHINGTON ST                                                    | CUSIP: 93974CPM6<br>LEI: 549300X3TODFMUKLQ364 | Long             | DBT              | MUN               | US        |   1580000 | PA      | $1655830.68   | 0.69%             | 2039-08-01      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149465 | PA      | $148155.47    | 0.06%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36208PXZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1442 | PA      | $1444.20      | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2018-3                | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    803886 | PA      | $712622.81    | 0.30%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WF3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600989 | PA      | $579302.14    | 0.24%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36208R2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11905 | PA      | $12150.22     | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6465 | PA      | $6514.67      | 0.00%             | 2037-11-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                 | CUSIP: 3131Y7PC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269949 | PA      | $264381.73    | 0.11%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36291L6N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57459 | PA      | $58563.70     | 0.02%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 31287XNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17218 | PA      | $18130.20     | 0.01%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105302 | PA      | $111969.81    | 0.05%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXHY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36853 | PA      | $37595.35     | 0.02%             | 2040-01-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                               | BPR Trust 2022-SSP                                               | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1121479.57   | 0.47%             | 2039-05-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $16959375.00  | 7.10%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-3                | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180806 | PA      | $160760.69    | 0.07%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36219RF55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3710 | PA      | $3783.72      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12850000 | PA      | $11290933.27  | 4.72%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209KEB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10586 | PA      | $10771.13     | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2015-SC01                | CUSIP: 3137G1AC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22846 | PA      | $20083.00     | 0.01%             | 2045-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418BYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137990 | PA      | $132924.24    | 0.06%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36207VB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2943 | PA      | $2994.83      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-3                | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174735 | PA      | $164404.62    | 0.07%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209KET1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12201 | PA      | $12452.12     | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81702 | PA      | $87268.14     | 0.04%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31387ECT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5080 | PA      | $5313.48      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36204VM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23799 | PA      | $24477.66     | 0.01%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210KRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8460 | PA      | $8631.41      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138YUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950798 | PA      | $885720.45    | 0.37%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132WLTS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1751216 | PA      | $1575975.58   | 0.66%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12700000 | PA      | $12252494.16  | 5.13%             | 2023-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138EMY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749620 | PA      | $742873.14    | 0.31%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TPGI Trust                                                              | TPGI Trust 2021-DGWD                                             | CUSIP: 87267HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $821920.00    | 0.34%             | 2026-06-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 31293MJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26869 | PA      | $27740.50     | 0.01%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE             | CUSIP: 64990FMT8<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   3000000 | PA      | $3081418.80   | 1.29%             | 2039-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                       | United States Small Business Administration                      | CUSIP: 83162CUV3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    740880 | PA      | $680539.28    | 0.28%             | 2032-06-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 2YR NOTE (CBT) MAR23                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -148 | NC      | $20406.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SWAP JP MORGAN BOC                                                      | SWAP JP MORGAN BOC                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     10000 | NS      | $10000.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                                                    | GCAT 2020-NQM2 Trust                                             | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313766 | PA      | $284797.23    | 0.12%             | 2065-04-25      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923497 | PA      | $914652.16    | 0.38%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446261 | PA      | $431251.93    | 0.18%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157821 | PA      | $143665.44    | 0.06%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXEL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279648 | PA      | $284063.19    | 0.12%             | 2036-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-2                | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199551 | PA      | $187601.55    | 0.08%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                                         | Oceanview Mortgage Loan Trust 2020-1                             | CUSIP: 676477AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405248 | PA      | $361371.14    | 0.15%             | 2050-05-28      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36206CDS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       789 | PA      | $807.91       | 0.00%             | 2025-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Securities Corp                       | CSWF 2021-SOP2                                                   | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213867 | PA      | $1162864.19   | 0.49%             | 2034-06-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Trust 2014-GC20                           | CUSIP: 36252WAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11698556 | PA      | $102285.74    | 0.04%             | 2047-04-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| City of San Francisco CA Public Utilities Commission Water Revenue      | SAN FRANCISCO CITY & CNTY CA PUBLIC UTILITIES COMMISSION WTR     | CUSIP: 79765RSV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3060000 | PA      | $3293467.60   | 1.38%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209PRT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9421 | PA      | $9611.45      | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138YNZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323376 | PA      | $311706.54    | 0.13%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209CGF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23513 | PA      | $23874.41     | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391505 | PA      | $337896.46    | 0.14%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                                    | BANK 2019-BNK21                                                  | CUSIP: 06540BBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6644108 | PA      | $276714.80    | 0.12%             | 2052-10-17      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2017-3                | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    812237 | PA      | $712357.15    | 0.30%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs                       | United States Small Business Administration                      | CUSIP: 83162CUS0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1536257 | PA      | $1416293.44   | 0.59%             | 2032-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                     | PFS Financing Corp                                               | CUSIP: 69335PED3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $784452.08    | 0.33%             | 2026-08-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174078 | PA      | $184870.11    | 0.08%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                     | PFS Financing Corp                                               | CUSIP: 69335PEF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090000 | PA      | $1024737.89   | 0.43%             | 2027-02-15      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132QQTV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1029929 | PA      | $962259.12    | 0.40%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138XWLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572844 | PA      | $557006.12    | 0.23%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36224RLK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       136 | PA      | $136.16       | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                                           | SFO Commercial Mortgage Trust 2021-555                           | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1975000 | PA      | $1817202.44   | 0.76%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36208YLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8578 | PA      | $8734.01      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18014 | PA      | $16313.96     | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140FCXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459385 | PA      | $427941.78    | 0.18%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138AEZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116520 | PA      | $115506.43    | 0.05%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 912828ZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23325000 | PA      | $22940913.29  | 9.60%             | 2023-05-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109349 | PA      | $112360.03    | 0.05%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194082 | PA      | $187433.12    | 0.08%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    803192 | PA      | $752320.76    | 0.31%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SWAP GOLDMAN SACHS COC                                                  | SWAP GOLDMAN SACHS COC                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |    -10000 | NS      | $-10000.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                   | CUSIP: 64971MT44<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3625000 | PA      | $3659971.46   | 1.53%             | 2027-05-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                            | GS Mortgage Securities Trust 2015-GC34                           | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |  13606237 | PA      | $365464.20    | 0.15%             | 2048-10-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36206WZD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       300 | PA      | $308.36       | 0.00%             | 2026-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36209AE48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12175 | PA      | $12383.87     | 0.01%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31416XW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848908 | PA      | $841521.71    | 0.35%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SWAP BNP PARIBAS COC                                                    | SWAP BNP PARIBAS COC                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    300000 | NS      | $300000.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36208WDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7005 | PA      | $7120.06      | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210VF71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9583 | PA      | $9774.24      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132GLB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640208 | PA      | $620176.40    | 0.26%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3617A5JF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702234 | PA      | $653587.62    | 0.27%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2016-SC01                | CUSIP: 3137G1AV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67813 | PA      | $58567.35     | 0.02%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6175000 | PA      | $6194299.65   | 2.59%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608258 | PA      | $560637.58    | 0.23%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8675000 | PA      | $7082053.56   | 2.96%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67330 | PA      | $71358.07     | 0.03%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36208PY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3754 | PA      | $3813.12      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2015-SC01                | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95113 | PA      | $82069.58     | 0.03%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238211 | PA      | $247690.35    | 0.10%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138EQRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388178 | PA      | $387732.18    | 0.16%             | 2038-03-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36202CM91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       918 | PA      | $933.57       | 0.00%             | 2026-03-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Commercial Mortgage Trust 2021-MC                             | CUSIP: 05608GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1430496.45   | 0.60%             | 2034-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31376KLG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646381 | PA      | $664035.55    | 0.28%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust Series 2019-4                | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    643634 | PA      | $567705.13    | 0.24%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                               | Nelnet Student Loan Trust 2021-C                                 | CUSIP: 64035GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582828 | PA      | $517970.41    | 0.22%             | 2062-04-20      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                              | JPMBB Commercial Mortgage Securities Trust 2013-C15              | CUSIP: 46640NAG3<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   4273437 | PA      | $18159.33     | 0.01%             | 2045-11-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138Y6YJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81237 | PA      | $80418.97     | 0.03%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                              | JPMBB Commercial Mortgage Securities Trust 2013-C17              | CUSIP: 46640UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19809220 | PA      | $78857.53     | 0.03%             | 2047-01-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2015-SC02                | CUSIP: 3137G1AL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217157 | PA      | $190474.82    | 0.08%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    846826 | PA      | $792932.28    | 0.33%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31407VXQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122822 | PA      | $126247.29    | 0.05%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                              | Navient Private Education Refi Loan Trust 2021-F                 | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710889 | PA      | $599349.13    | 0.25%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140EU2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382217 | PA      | $356533.72    | 0.15%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust 2019-2                                  | BRAVO Residential Funding Trust 2019-NQM2                        | CUSIP: 10568LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656673 | PA      | $605090.34    | 0.25%             | 2044-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 31287YP81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79597 | PA      | $83567.42     | 0.03%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31387JZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       641 | PA      | $677.68       | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                  | UNIV OF MICHIGAN MI                                              | CUSIP: 914455UJ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    560000 | PA      | $455667.91    | 0.19%             | 2122-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36212F6X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19742 | PA      | $20818.44     | 0.01%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                     | NEW YORK NY                                                      | CUSIP: 64966HYM6<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   3875000 | PA      | $4150472.59   | 1.74%             | 2036-03-01      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31418DDH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101885 | PA      | $89279.05     | 0.04%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36207FSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       396 | PA      | $407.45       | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36203AFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        23 | PA      | $22.65        | 0.00%             | 2023-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | United States Treasury Note/Bond                                 | CUSIP: 912828S92<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3850000 | PA      | $3774309.30   | 1.58%             | 2023-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140JBXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2658112 | PA      | $2100690.15   | 0.88%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36210GTP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4151 | PA      | $4224.66      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                            | CUSIP: 3132QMQJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    992157 | PA      | $927589.35    | 0.39%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583428 | PA      | $587103.40    | 0.25%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                                      | Galton Funding Mortgage Trust 2019-1                             | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33173 | PA      | $31275.39     | 0.01%             | 2059-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643522 | PA      | $619928.58    | 0.26%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                                      | Seasoned Credit Risk Transfer Trust 2017-4                       | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1381726 | PA      | $1361493.27   | 0.57%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                                           | DROP Mortgage Trust 2021-FILE                                    | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1195428.63   | 0.50%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2013-GC17                    | CUSIP: 17321RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7654044 | PA      | $36086.91     | 0.02%             | 2046-11-10      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 31417EDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3082612 | PA      | $2881675.63   | 1.21%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3138WS6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611213 | PA      | $555069.29    | 0.23%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                 | CUSIP: 3132AEB96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253633 | PA      | $241567.53    | 0.10%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32200 | PA      | $32413.12     | 0.01%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4    | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7462782 | PA      | $128776.65    | 0.05%             | 2049-12-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                                 | Freddie Mac Whole Loan Securities Trust 2016-SC02                | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194266 | PA      | $167281.49    | 0.07%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                  | CUSIP: 3140E2FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258494 | PA      | $248390.97    | 0.10%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5 | CUSIP: 46654PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1296077.22   | 0.54%             | 2038-11-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468981 | PA      | $449561.10    | 0.19%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                               | CUSIP: 3620AXEM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26200 | PA      | $26416.20     | 0.01%             | 2037-11-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                                            | Hawaii Hotel Trust 2019-MAUI                                     | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1267526.07   | 0.53%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** MORGAN STANLEY U.S. GOVERNMENT SECURITIES TRUST

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Principal Financial Officer