# EDGAR Filing Document

**Accession Number:** 0000701939
**File Stem:** 0002048251-25-000251
**Filing Date:** 2025-9
**Character Count:** 170169
**Document Hash:** 228adbc759451b1a0f06cc60e43235e3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002048251-25-000251.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0002048251-25-000251

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20260131

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03451
- **FILM NUMBER:** 251347806

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-07-31

**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:** $626506238.70

**Total Liabilities:** $35844069.05

**Net Assets:** $590662169.65

**Cash Not Reported:** $86812.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1711.72026582 | **1-Year:** -27040.36443335 | **5-Year:** -48296.39331955 | **10-Year:** -19609.72860764 | **30-Year:** 337.98605238

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

- **3-Month:** -563.54538336 | **1-Year:** -6796.57331700 | **5-Year:** -14895.30469584 | **10-Year:** -8932.07708031 | **30-Year:** -440.06216195

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000147419 | -0.01%               | 0.68%                | -0.11%               |
| Class ID C000022552 | -0.02%               | 0.57%                | -0.12%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-177124.05              | $-1589471.14                               |
| Month 2  | $329495.88               | $2232957.05                                |
| Month 3  | $206939.93               | $-2570588.38                               |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                            | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K517 A2   | CUSIP: 3137HC2C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6620000 | PA      | $6839918.39   | 1.16%             | 2029-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-99 LI           | CUSIP: 38379XH52<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    122915 | PA      | $707.47       | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-71 IN                                  | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    370180 | PA      | $72788.54     | 0.01%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 626826                                       | CUSIP: 36291FLF3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     55166 | PA      | $56839.11     | 0.01%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-97 JI                                  | CUSIP: 3136A73B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      8755 | PA      | $0.65         | 0.00%             | 2027-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 437 C8                              | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3395061 | PA      | $518370.69    | 0.09%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 627429                                       | CUSIP: 36291GA63<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       421 | PA      | $432.08       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3788 FA                                    | CUSIP: 3137A5PP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1646770 | PA      | $1639934.97   | 0.28%             | 2041-01-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 386 C10                                    | CUSIP: 31325YBX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4900731 | PA      | $574191.10    | 0.10%             | 2042-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-144 DG          | CUSIP: 38379EV82<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2656521 | PA      | $2593605.35   | 0.44%             | 2029-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 569569                                       | CUSIP: 36200QW67<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5826 | PA      | $6074.01      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-165 I           | CUSIP: 38379FK73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    507743 | PA      | $77795.32     | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 426 C38                             | CUSIP: 31422M2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4074557 | PA      | $517969.10    | 0.09%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-55 PA                                  | CUSIP: 3136B2TU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   7270465 | PA      | $7180577.25   | 1.22%             | 2047-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2021-3 NI                                   | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3968790 | PA      | $599498.46    | 0.10%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES FSPC T-42 A5     | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    152136 | PA      | $160949.15    | 0.03%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5558 EA                                    | CUSIP: 3137HM3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4486824 | PA      | $4455539.91   | 0.75%             | 2052-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K516 A2   | CUSIP: 3137HBPM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  14000000 | PA      | $14460762.40  | 2.45%             | 2029-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-74 HI                                  | CUSIP: 3136BB6V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2196110 | PA      | $385550.37    | 0.07%             | 2050-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K125 X1   | CUSIP: 3137F9ZA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  13469742 | PA      | $342919.44    | 0.06%             | 2031-01-25      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4170 QI                                    | CUSIP: 3137AYYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     15236 | PA      | $23.91        | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5243 AV                                    | CUSIP: 3137H84A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3549244 | PA      | $3522267.61   | 0.60%             | 2033-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA2110                                         | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2036378 | PA      | $1965864.64   | 0.33%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-166 DA          | CUSIP: 38378U4C8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    185890 | PA      | $182680.74    | 0.03%             | 2040-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AZ9232                                         | CUSIP: 3140E2HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      6287 | PA      | $6115.23      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-3 JI                                   | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22285 | PA      | $177.02       | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS1892                                         | CUSIP: 3140XHC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    136357 | PA      | $129197.15    | 0.02%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 603130                                       | CUSIP: 36200KA72<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      3722 | PA      | $3755.00      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5320 CI                                    | CUSIP: 3137HABF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3306360 | PA      | $561628.87    | 0.10%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K737 X1   | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  20454537 | PA      | $123823.59    | 0.02%             | 2026-10-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 256255                                         | CUSIP: 31371MTL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1464 | PA      | $1510.14      | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3781 YB                                    | CUSIP: 3137A3RV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    931906 | PA      | $914347.31    | 0.15%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4195 AI                                    | CUSIP: 3137B1CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    191780 | PA      | $5067.85      | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4199 QI                                    | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    105593 | PA      | $2465.54      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BS8763                                         | CUSIP: 3140LKWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2670000 | PA      | $2688596.12   | 0.46%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3400000 | PA      | $3381999.55   | 0.57%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-154 X1  | CUSIP: 3137H9UF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  14645551 | PA      | $368937.53    | 0.06%             | 2033-01-25      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-2 MA | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   5265248 | PA      | $5027251.26   | 0.85%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-167 AI          | CUSIP: 38380CEN9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    662137 | PA      | $55540.57     | 0.01%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-132 NA          | CUSIP: 38381Y5P5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2262352 | PA      | $2110106.21   | 0.36%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783353                                       | CUSIP: 36241LWN2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    218062 | PA      | $219480.17    | 0.04%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL7363                                         | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    243009 | PA      | $239872.17    | 0.04%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 726114                                       | CUSIP: 3620ACVF8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       748 | PA      | $750.26       | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-72 ID           | CUSIP: 38380WH28<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2066750 | PA      | $411034.16    | 0.07%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2024-41 DA                                  | CUSIP: 3136BSPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  10227698 | PA      | $10275075.84  | 1.74%             | 2051-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-40 PA           | CUSIP: 38379LGE0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    354715 | PA      | $346157.76    | 0.06%             | 2044-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SB0683                                        | CUSIP: 3132CWXL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3148308 | PA      | $3090239.96   | 0.52%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-2 AI            | CUSIP: 38380CNU3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    208196 | PA      | $42360.43     | 0.01%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5048 A                                     | CUSIP: 3137F7DE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1690531 | PA      | $1564050.06   | 0.26%             | 2044-06-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-130 FQ                                 | CUSIP: 3136AHF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1157044 | PA      | $1148459.25   | 0.19%             | 2041-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 718864                                       | CUSIP: 3620A4TV4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1310 | PA      | $1305.87      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G14523                                   | CUSIP: 3128MDG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       212 | PA      | $211.97       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -2256000 | PA      | $-2287182.05  | -0.39%            | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-26 JI           | CUSIP: 38376VPU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    991436 | PA      | $198311.94    | 0.03%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 1.125000% 10/31/2026                              | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  61925000 | PA      | $59689894.53  | 10.11%            | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS8493                                         | CUSIP: 3140XQNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2702475 | PA      | $2777242.20   | 0.47%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2019-M21 X1                                   | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   9703030 | PA      | $351020.69    | 0.06%             | 2029-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4484 CI                                    | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    192660 | PA      | $9779.16      | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-164 CE          | CUSIP: 38378YFG9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2330201 | PA      | $2273242.38   | 0.38%             | 2028-11-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783379                                       | CUSIP: 36241LXG6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     30921 | PA      | $29229.39     | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4456 BA                                    | CUSIP: 3137BGQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    590307 | PA      | $564510.69    | 0.10%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4220 IE                                    | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     23004 | PA      | $280.47       | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 418 C16                             | CUSIP: 31395Q3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1489670 | PA      | $314339.73    | 0.05%             | 2043-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K107 X1   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  12100852 | PA      | $711037.59    | 0.12%             | 2030-01-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZS8551                                        | CUSIP: 3132A9QC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    521586 | PA      | $512645.36    | 0.09%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5010 IE                                    | CUSIP: 3137FVQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2260259 | PA      | $457816.24    | 0.08%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 745056                                       | CUSIP: 3620C0WR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6314 | PA      | $6271.07      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4223 AL                                    | CUSIP: 3137B3JX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    693366 | PA      | $655207.36    | 0.11%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4018 AI                                    | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      5335 | PA      | $10.17        | 0.00%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J35743                                   | CUSIP: 31307SLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1000241 | PA      | $958312.68    | 0.16%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2025-34 BA                                  | CUSIP: 3136BVC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2064832 | PA      | $2042071.07   | 0.35%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-4 MA | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3977616 | PA      | $3671244.87   | 0.62%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5263 GA                                    | CUSIP: 3137H95B1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3418383 | PA      | $3405241.14   | 0.58%             | 2045-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3148 CF                                    | CUSIP: 31396JZE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     51649 | PA      | $51359.91     | 0.01%             | 2034-02-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-53 BI                                  | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     56386 | PA      | $1062.36      | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-42 EI           | CUSIP: 38379V5S9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    657440 | PA      | $78442.09     | 0.01%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-76 GA           | CUSIP: 38383RNR4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4367294 | PA      | $4245358.77   | 0.72%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-30 AB           | CUSIP: 38378DV51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    403704 | PA      | $397471.12    | 0.07%             | 2027-03-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SD2305                                        | CUSIP: 3132DPR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2508261 | PA      | $2504613.48   | 0.42%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AX9550                                         | CUSIP: 3138YBTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3331 | PA      | $3248.74      | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5018 LW                                    | CUSIP: 3137FXBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1148502 | PA      | $924082.83    | 0.16%             | 2040-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SD3029                                        | CUSIP: 3132DQLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    147604 | PA      | $140539.22    | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2014-50 SC                                  | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    654007 | PA      | $42505.52     | 0.01%             | 2044-08-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-26 IA                                  | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1971759 | PA      | $170545.90    | 0.03%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 474700                                       | CUSIP: 36209LKM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       520 | PA      | $523.71       | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 553167                                       | CUSIP: 36213FQU0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     13504 | PA      | $13779.67     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG V60836                                   | CUSIP: 3132KE4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    888116 | PA      | $857453.45    | 0.15%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4978 MI                                    | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1546610 | PA      | $234511.10    | 0.04%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 410 C6                              | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30452 | PA      | $336.23       | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-51 GI           | CUSIP: 38378EAS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     51862 | PA      | $570.76       | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5538 AV                                    | CUSIP: 3137HKXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7358570 | PA      | $7328049.73   | 1.24%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG A90316                                   | CUSIP: 312938K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    583338 | PA      | $576660.51    | 0.10%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2025-3 BA                                   | CUSIP: 3136BUSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2298271 | PA      | $2303985.01   | 0.39%             | 2052-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BA4768                                         | CUSIP: 3140E9JN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     64895 | PA      | $63042.04     | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4176 KI                                    | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     28437 | PA      | $295.74       | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J15671                                   | CUSIP: 3128PVJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       886 | PA      | $884.86       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2019-42 KA                                  | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   6355055 | PA      | $5745158.92   | 0.97%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN CB6484                                         | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5119366 | PA      | $5114550.93   | 0.87%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-140 PA                                 | CUSIP: 3136AAGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2157565 | PA      | $1834344.75   | 0.31%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-3 MV | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    835702 | PA      | $777485.83    | 0.13%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-167 X1  | CUSIP: 3137HHUJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  15849547 | PA      | $255759.38    | 0.04%             | 2034-10-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FM8373                                         | CUSIP: 3140XCJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1488340 | PA      | $1351255.12   | 0.23%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BZ0044                                         | CUSIP: 3140NUBN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2440000 | PA      | $2488722.63   | 0.42%             | 2028-12-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-55 LB           | CUSIP: 38379BJF6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     96235 | PA      | $92689.14     | 0.02%             | 2040-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 698060                                       | CUSIP: 36296QQM4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      8012 | PA      | $8220.36      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BC4869                                         | CUSIP: 3140F0MT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     40500 | PA      | $39131.62     | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF72 A    | CUSIP: 3137FQ3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    141998 | PA      | $141938.34    | 0.02%             | 2026-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-139 KA          | CUSIP: 38379GNX1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1471886 | PA      | $1425774.45   | 0.24%             | 2029-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4178 MI                                    | CUSIP: 3137B06E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     63684 | PA      | $1212.13      | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 256774                                         | CUSIP: 31371NFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1231 | PA      | $1303.74      | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FM8344                                         | CUSIP: 3140XCHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1220685 | PA      | $1169086.44   | 0.20%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783384                                       | CUSIP: 36241LXM3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    620529 | PA      | $638565.23    | 0.11%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-12 P                                   | CUSIP: 3136ABVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    181966 | PA      | $177068.46    | 0.03%             | 2041-11-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 5YR NOTE (CBT) SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -482 | NC      | $-52138843.75 | -8.83%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4200 LC                                    | CUSIP: 3137B24T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4658134 | PA      | $4344942.12   | 0.74%             | 2033-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5264 AB                                    | CUSIP: 3137H9BH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    627588 | PA      | $623241.10    | 0.11%             | 2039-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BZ0638                                         | CUSIP: 3140NUV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2595000 | PA      | $2636357.06   | 0.45%             | 2029-04-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-84 TE           | CUSIP: 38375GJB8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    920057 | PA      | $864455.37    | 0.15%             | 2042-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-157 AE          | CUSIP: 38378U2V8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4373058 | PA      | $4272938.18   | 0.72%             | 2028-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4178 BI                                    | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    237604 | PA      | $16708.81     | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3930 AI                                    | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     24456 | PA      | $331.14       | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 303 C16                                    | CUSIP: 31325UEE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1407793 | PA      | $220219.82    | 0.04%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BT2752                                         | CUSIP: 3140LRBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    260592 | PA      | $238995.51    | 0.04%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-35 AI                                  | CUSIP: 3136BALN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3337979 | PA      | $535458.95    | 0.09%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2021-86 T                                   | CUSIP: 3136BKYQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1102965 | PA      | $963051.72    | 0.16%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-65 BI                                  | CUSIP: 3136BBTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2273876 | PA      | $434612.48    | 0.07%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2022-22 QH                                  | CUSIP: 3136BMG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4792990 | PA      | $4706530.87   | 0.80%             | 2052-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-17 EI           | CUSIP: 38382CJ51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1508590 | PA      | $319086.60    | 0.05%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA2163                                         | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    623904 | PA      | $575609.71    | 0.10%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2006-76 QF                                  | CUSIP: 31396KBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    133551 | PA      | $132724.53    | 0.02%             | 2036-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-124 BC                                 | CUSIP: 3136A9W61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1328771 | PA      | $1293825.72   | 0.22%             | 2042-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-87 CA           | CUSIP: 38383RYD3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   9122223 | PA      | $8539951.23   | 1.45%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-56 BP           | CUSIP: 38379BCS5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    653768 | PA      | $616471.34    | 0.10%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5413 KV                                    | CUSIP: 3137HCVT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6714395 | PA      | $6831337.51   | 1.16%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZN6438                                        | CUSIP: 3131YDEK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    626988 | PA      | $612769.24    | 0.10%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL6818                                         | CUSIP: 3138EPSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    639983 | PA      | $631855.36    | 0.11%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-42 AI                                  | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    567947 | PA      | $27873.52     | 0.00%             | 2055-06-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 KI           | CUSIP: 38380CP80<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    780172 | PA      | $126993.71    | 0.02%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SD2553                                        | CUSIP: 3132DPZS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    547175 | PA      | $515505.17    | 0.09%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 848900                                         | CUSIP: 31408EDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16004 | PA      | $16823.77     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G16018                                   | CUSIP: 3128ME4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    908210 | PA      | $881558.61    | 0.15%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K-170 X1  | CUSIP: 3137HLJ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7889335 | PA      | $158773.66    | 0.03%             | 2035-02-25      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 682100                                       | CUSIP: 36295VX53<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       579 | PA      | $606.66       | 0.00%             | 2038-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K510 A2   | CUSIP: 3137HB3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2365000 | PA      | $2413709.07   | 0.41%             | 2028-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J15128                                   | CUSIP: 3128PUVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      1845 | PA      | $1844.57      | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-149 EA          | CUSIP: 38379GSX6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    590966 | PA      | $576378.08    | 0.10%             | 2029-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2007-64 FB                                  | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    898287 | PA      | $892157.91    | 0.15%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 373 100                                    | CUSIP: 3133Q7PB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3603395 | PA      | $3222428.86   | 0.55%             | 2038-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5079 CB                                    | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   5232212 | PA      | $4502092.50   | 0.76%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-126 IO          | CUSIP: 38378H3E4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1433574 | PA      | $200277.39    | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 429 C3                              | CUSIP: 31423YVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3930495 | PA      | $619527.97    | 0.10%             | 2052-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 658384                                       | CUSIP: 36294SM95<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     78383 | PA      | $82235.39     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA0844                                         | CUSIP: 31417Y5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    125070 | PA      | $124900.55    | 0.02%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-98 BI                                  | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    471291 | PA      | $26680.41     | 0.00%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-57 TI           | CUSIP: 38377EG73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    470174 | PA      | $98938.57     | 0.02%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-38 GE           | CUSIP: 38378DQU2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    617632 | PA      | $607135.14    | 0.10%             | 2027-03-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5091 IG                                    | CUSIP: 3137FYML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2491479 | PA      | $505919.63    | 0.09%             | 2051-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 995018                                         | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     83345 | PA      | $85434.87     | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-95 BC                                  | CUSIP: 3136AUYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1316310 | PA      | $1243162.60   | 0.21%             | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-42 DA                                  | CUSIP: 3136ASZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    308763 | PA      | $294819.85    | 0.05%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 GI          | CUSIP: 38379QGG4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     14956 | PA      | $74.26        | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2020-47 AC           | CUSIP: 38382EAJ6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3249518 | PA      | $2608521.61   | 0.44%             | 2050-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-129 AF          | CUSIP: 38378WY23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2383320 | PA      | $2373177.74   | 0.40%             | 2039-10-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4657 PU                                    | CUSIP: 3137BVPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1289773 | PA      | $1256025.89   | 0.21%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BT7341                                         | CUSIP: 3140LWEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1099705 | PA      | $1008559.98   | 0.17%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 599564                                       | CUSIP: 36200FB98<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     77846 | PA      | $79203.21     | 0.01%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AX2509                                         | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14878 | PA      | $14536.39     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 724245                                       | CUSIP: 3620AATA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1705 | PA      | $1753.72      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL8605                                         | CUSIP: 3138ETR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2541317 | PA      | $2504103.74   | 0.42%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-23 CI           | CUSIP: 38379VRH9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    297526 | PA      | $8912.61      | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL4237                                         | CUSIP: 3138ELV75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1220480 | PA      | $1207616.21   | 0.20%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-68 JI                                  | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     65308 | PA      | $2625.41      | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4700 HV                                    | CUSIP: 3137F1RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4466355 | PA      | $4343271.64   | 0.74%             | 2040-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4107 HE                                    | CUSIP: 3137AUF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3587774 | PA      | $3380259.93   | 0.57%             | 2041-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE INTEREST STRIP FNS 397 6                               | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    601906 | PA      | $525556.10    | 0.09%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F032682<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -4058000 | PA      | $-3624720.24  | -0.61%            | 2055-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AP3051                                         | CUSIP: 3138M6L96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     14965 | PA      | $14703.15     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FNR 2012-93 IL SERIES 2012-93 CLASS IL                            | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     62102 | PA      | $1291.92      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IA           | CUSIP: 38380CF81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    629010 | PA      | $87488.33     | 0.01%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4247 LA                                    | CUSIP: 3137B4HR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2094182 | PA      | $1959925.06   | 0.33%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FM3526                                         | CUSIP: 3140X64L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1790006 | PA      | $1774813.54   | 0.30%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZK7457                                        | CUSIP: 3131XBJA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    326121 | PA      | $321904.07    | 0.05%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2025-3 DA                                   | CUSIP: 3136BURE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2119158 | PA      | $2126218.57   | 0.36%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2010-4 PL                                   | CUSIP: 31398GW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    316774 | PA      | $315601.44    | 0.05%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR ULTRA FUT SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -218 | NC      | $-24651031.25 | -4.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4182 IE                                    | CUSIP: 3137B0WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     75325 | PA      | $1716.84      | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2021-95 GI                                  | CUSIP: 3136BKWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3427112 | PA      | $543350.18    | 0.09%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET PARIBAS      | CUSIP: PAMGZZVY5<br>LEI: N/A                  | Long             | RA               |  | US        |   3900000 | PA      | $3900000.00   | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS4639                                         | CUSIP: 3140XLEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1164382 | PA      | $1194855.52   | 0.20%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-27 PI                                  | CUSIP: 3136A4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    646484 | PA      | $41484.86     | 0.01%             | 2042-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4740 P                                     | CUSIP: 3137FCEH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4366894 | PA      | $3892609.49   | 0.66%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 410987                                       | CUSIP: 36206GRG7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11742 | PA      | $12029.59     | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 3.750000% 04/15/2028                              | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  23775000 | PA      | $23685843.75  | 4.01%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2021-26 YI                                  | CUSIP: 3136BHES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3264268 | PA      | $574989.14    | 0.10%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2010-56 AF                                  | CUSIP: 31398RK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1185483 | PA      | $1180358.51   | 0.20%             | 2040-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 833600                                         | CUSIP: 31407LDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      6806 | PA      | $7082.26      | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 367098                                       | CUSIP: 36204DX38<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     11281 | PA      | $10651.07     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA5145                                         | CUSIP: 31418EWF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2730190 | PA      | $2803160.56   | 0.47%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4146 AB                                    | CUSIP: 3137AXEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    321499 | PA      | $312239.14    | 0.05%             | 2027-12-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 641988                                       | CUSIP: 36291YF51<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7455 | PA      | $7794.87      | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AJ9947                                         | CUSIP: 3138E3BR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    157221 | PA      | $150565.44    | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 731641                                       | CUSIP: 3620AJZE2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1635 | PA      | $1676.11      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K511 A2   | CUSIP: 3137HB3G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3190000 | PA      | $3237217.42   | 0.55%             | 2028-10-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-75 DA           | CUSIP: 38383RJZ1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3872618 | PA      | $3767275.06   | 0.64%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BU5932                                         | CUSIP: 3140M7SW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    751457 | PA      | $689163.40    | 0.12%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-21 WI                                  | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    537732 | PA      | $23622.94     | 0.00%             | 2055-04-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2023-112 NA          | CUSIP: 38384CW88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    981882 | PA      | $996379.42    | 0.17%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL2877                                         | CUSIP: 3138EKFT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     72788 | PA      | $71923.50     | 0.01%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-34 KA           | CUSIP: 38378D3G8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    423307 | PA      | $416439.07    | 0.07%             | 2027-03-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BZ0611                                         | CUSIP: 3140NUVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2862480 | PA      | $2874683.55   | 0.49%             | 2029-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2021-215 KA          | CUSIP: 38383DY69<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2730957 | PA      | $2413862.60   | 0.41%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-107 JI          | CUSIP: 38380TE93<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    791139 | PA      | $128077.38    | 0.02%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                             | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET  DEUTSCHE    | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |   3800000 | PA      | $3800000.00   | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4535 PA                                    | CUSIP: 3137BMHP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1448825 | PA      | $1400978.79   | 0.24%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5228 DG                                    | CUSIP: 3137H7U76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4784319 | PA      | $4578883.13   | 0.78%             | 2046-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2008-16 FA                                  | CUSIP: 31396YSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    385076 | PA      | $385699.81    | 0.07%             | 2038-03-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5170 DP                                    | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1862843 | PA      | $1624828.03   | 0.28%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS0102                                         | CUSIP: 3140XFDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1615791 | PA      | $1511316.57   | 0.26%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG K93731                                   | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2004295 | PA      | $1884416.34   | 0.32%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-126 HI          | CUSIP: 38379QFZ3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      6321 | PA      | $0.06         | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2005-101 B                                  | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    563163 | PA      | $570357.22    | 0.10%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-132 EI          | CUSIP: 38379M6M1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    714726 | PA      | $143058.56    | 0.02%             | 2045-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-41 AG                                  | CUSIP: 3136ANZG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    313828 | PA      | $307723.75    | 0.05%             | 2034-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-26 IK           | CUSIP: 38378JAS1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    273787 | PA      | $36248.75     | 0.01%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS2831                                         | CUSIP: 3140XJED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    318210 | PA      | $301501.59    | 0.05%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR RB5124                                        | CUSIP: 3133KYVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    483434 | PA      | $395115.09    | 0.07%             | 2041-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-51 IB           | CUSIP: 38378MSZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     67269 | PA      | $390.55       | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4419 CW                                    | CUSIP: 3137BFP54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    798562 | PA      | $775671.80    | 0.13%             | 2037-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS1244                                         | CUSIP: 3140XGL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1377007 | PA      | $1340321.99   | 0.23%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US LONG BOND(CBT) SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        12 | NC      | $1370250.00   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FM2399                                         | CUSIP: 3140X5UZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    234447 | PA      | $230706.54    | 0.04%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2020-2 MA | CUSIP: 35563PQP7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    515827 | PA      | $459760.98    | 0.08%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA2804                                         | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3076141 | PA      | $2888924.23   | 0.49%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-4 BI            | CUSIP: 38378P4B1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    114596 | PA      | $22250.19     | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZS8686                                        | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    996822 | PA      | $963283.17    | 0.16%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AH9688                                         | CUSIP: 3138ABXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22726 | PA      | $22684.51     | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-121 FA                                 | CUSIP: 3136AHEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   7982649 | PA      | $7917148.71   | 1.34%             | 2043-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SD4010                                        | CUSIP: 3132E0N32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    643737 | PA      | $614784.66    | 0.10%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-69 GA                                  | CUSIP: 3136AXD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1160149 | PA      | $1124070.79   | 0.19%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS1377                                         | CUSIP: 3140XGQ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1770321 | PA      | $1755617.85   | 0.30%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-68 IB                                  | CUSIP: 3136AXQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1450471 | PA      | $258481.58    | 0.04%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-81 CA           | CUSIP: 38379YNX2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1006605 | PA      | $912447.19    | 0.15%             | 2045-03-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AI9810                                         | CUSIP: 3138AP3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     27314 | PA      | $27131.02     | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BC1185                                         | CUSIP: 3140EVJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2942138 | PA      | $2886729.54   | 0.49%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 698033                                       | CUSIP: 36296QPS2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     65376 | PA      | $67704.62     | 0.01%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-124 HA          | CUSIP: 38383T4H3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1423986 | PA      | $1390550.46   | 0.24%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 664541                                       | CUSIP: 36295AHS7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      1572 | PA      | $1614.21      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4654 AK                                    | CUSIP: 3137BVRU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1748759 | PA      | $1706904.08   | 0.29%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G14205                                   | CUSIP: 3128MC3N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |        46 | PA      | $45.53        | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 726440                                       | CUSIP: 3620ADBH4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7362 | PA      | $7341.92      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF62 A    | CUSIP: 3137FLYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2971215 | PA      | $2971674.25   | 0.50%             | 2026-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2022-5 AB                                   | CUSIP: 3136BLGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1635388 | PA      | $1350520.02   | 0.23%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-89 CA                                  | CUSIP: 3136B3RT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1227908 | PA      | $1220031.22   | 0.21%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2021-3 TT | CUSIP: 35563P5Y1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1079897 | PA      | $968517.05    | 0.16%             | 2061-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-68 HI                                  | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    286665 | PA      | $25625.14     | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-136 AB          | CUSIP: 38378UDX2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    388353 | PA      | $387187.84    | 0.07%             | 2027-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3219 EF                                    | CUSIP: 31397BF48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1166459 | PA      | $1160906.67   | 0.20%             | 2032-04-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4292 P                                     | CUSIP: 3137B75T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    612034 | PA      | $596593.10    | 0.10%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G08737                                   | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3281947 | PA      | $2884512.86   | 0.49%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-68 WA           | CUSIP: 38377GTK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    446171 | PA      | $435796.77    | 0.07%             | 2039-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2019-38 PC                                  | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    623752 | PA      | $586017.76    | 0.10%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4471 GA                                    | CUSIP: 3137BJGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    814533 | PA      | $775105.66    | 0.13%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 676933                                       | CUSIP: 36295QBA7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     24626 | PA      | $25992.28     | 0.00%             | 2038-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 386 C14                                    | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3483268 | PA      | $531708.71    | 0.09%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        | -17718000 | PA      | $-16805412.26 | -2.85%            | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-26 GJ           | CUSIP: 38378C3R6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    948375 | PA      | $933924.44    | 0.16%             | 2027-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4114 MB                                    | CUSIP: 3137AURW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2426771 | PA      | $2340897.45   | 0.40%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BM3417                                         | CUSIP: 3140J7YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    149276 | PA      | $147005.11    | 0.02%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5213 JH                                    | CUSIP: 3137H6XV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2205075 | PA      | $2085525.72   | 0.35%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-158 A           | CUSIP: 38379GWF0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1336161 | PA      | $1291626.07   | 0.22%             | 2029-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS6067                                         | CUSIP: 3140XMW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    395999 | PA      | $378148.46    | 0.06%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS5497                                         | CUSIP: 3140XMDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    401470 | PA      | $381136.31    | 0.06%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2002-53 FK                                  | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     23401 | PA      | $23265.53     | 0.00%             | 2032-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5169 IO                                    | CUSIP: 3137H4GG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3041304 | PA      | $489977.41    | 0.08%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4344 KZ                                    | CUSIP: 3137BAJM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   5210101 | PA      | $5035608.12   | 0.85%             | 2034-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K066 X1   | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  16745071 | PA      | $177825.95    | 0.03%             | 2027-06-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS4600                                         | CUSIP: 3140XLDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1882851 | PA      | $1821278.97   | 0.31%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-37 IM                                  | CUSIP: 3136B9W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2682063 | PA      | $540976.59    | 0.09%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS2749                                         | CUSIP: 3140XJBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3116963 | PA      | $3096213.38   | 0.52%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-129 BA          | CUSIP: 38379GKJ5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1515427 | PA      | $1465239.13   | 0.25%             | 2029-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4820 JI                                    | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    489539 | PA      | $97303.09     | 0.02%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G18631                                   | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    561257 | PA      | $536919.40    | 0.09%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4620 IO                                    | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    366627 | PA      | $48414.65     | 0.01%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-5 JI            | CUSIP: 38381BD76<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1789570 | PA      | $285053.79    | 0.05%             | 2044-07-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AE0803                                         | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    469801 | PA      | $463833.34    | 0.08%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2019-1 MA | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3097729 | PA      | $2970506.29   | 0.50%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-49 PI           | CUSIP: 38379WGB2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    984956 | PA      | $178512.46    | 0.03%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783710                                       | CUSIP: 3622A2DP4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     64237 | PA      | $67149.57     | 0.01%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K528 A2   | CUSIP: 3137HFNZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3300000 | PA      | $3319291.14   | 0.56%             | 2029-07-25      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3628 PJ                                    | CUSIP: 31398LUM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    471568 | PA      | $470181.84    | 0.08%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZK7453                                        | CUSIP: 3131XBH69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2037523 | PA      | $2010250.78   | 0.34%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 548426                                         | CUSIP: 31385PHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     10462 | PA      | $10457.18     | 0.00%             | 2029-08-01      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 2YR NOTE (CBT) SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       985 | NC      | $203879609.38 | 34.52%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 303 C2                                     | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    181919 | PA      | $3789.12      | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SB0372                                        | CUSIP: 3132CWMV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2331804 | PA      | $2312416.23   | 0.39%             | 2033-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-146 GH          | CUSIP: 38379GUB1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2255695 | PA      | $2169098.16   | 0.37%             | 2029-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2018-1 MA | CUSIP: 35563PDZ9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3059046 | PA      | $2868170.92   | 0.49%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-76 PH                                  | CUSIP: 3136AFHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1623887 | PA      | $1531085.73   | 0.26%             | 2042-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3174 FA                                    | CUSIP: 31396TLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    792004 | PA      | $785852.23    | 0.13%             | 2036-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3786 ED                                    | CUSIP: 3137A5R97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    798315 | PA      | $795769.28    | 0.13%             | 2039-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-134 BI          | CUSIP: 38380GZW7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    174826 | PA      | $38209.06     | 0.01%             | 2047-09-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-9 PT                                   | CUSIP: 3136ABSM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    298562 | PA      | $289077.43    | 0.05%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4142 PT                                    | CUSIP: 3137AX5Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    320456 | PA      | $311005.92    | 0.05%             | 2027-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-26 IB           | CUSIP: 38380CG23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    417728 | PA      | $62472.17     | 0.01%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR RA8751                                        | CUSIP: 3133KQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    669537 | PA      | $686563.77    | 0.12%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2003-86 ZD           | CUSIP: 38374CG88<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1297891 | PA      | $1303371.84   | 0.22%             | 2033-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4117 P                                     | CUSIP: 3137AUTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    782316 | PA      | $687280.59    | 0.12%             | 2042-07-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-13 MP                                  | CUSIP: 3136B02D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1883923 | PA      | $1782182.08   | 0.30%             | 2057-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR RA8307                                        | CUSIP: 3133KQGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1397369 | PA      | $1426252.13   | 0.24%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-43 AI                                  | CUSIP: 3136A5YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    343974 | PA      | $6032.55      | 0.00%             | 2027-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA2164                                         | CUSIP: 31418BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1111545 | PA      | $1071651.67   | 0.18%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2011-17 ZM                                  | CUSIP: 31397QYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2745460 | PA      | $2688854.07   | 0.46%             | 2031-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3930 KE                                    | CUSIP: 3137AFBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7604072 | PA      | $7372344.57   | 1.25%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR NOTE (CBT)SEP25 FINANCIAL COMMODITY FUTURE.               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -405 | NC      | $-44980312.50 | -7.62%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4340 MI                                    | CUSIP: 3137BAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    116300 | PA      | $1321.96      | 0.00%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 890762                                         | CUSIP: 31410LTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1199697 | PA      | $1150451.98   | 0.19%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 693463                                       | CUSIP: 36296KML3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       568 | PA      | $576.52       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (AUGUST)                       | CUSIP: 01F050684<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -7900000 | PA      | $-7688261.67  | -1.30%            | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-85 PI                                  | CUSIP: 3136BCU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3406263 | PA      | $554807.28    | 0.09%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-10 YA                                  | CUSIP: 3136ACAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    497449 | PA      | $481983.72    | 0.08%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2019-43 IA           | CUSIP: 38381TR23<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1272003 | PA      | $187922.71    | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 4.375000% 12/15/2026                              | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  47475000 | PA      | $47667867.19  | 8.07%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-127 PB          | CUSIP: 38380YYX7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1156923 | PA      | $1087539.23   | 0.18%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-5 CP                                   | CUSIP: 3136AMML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    532018 | PA      | $517372.00    | 0.09%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-4 AP                                   | CUSIP: 3136B8NA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1301784 | PA      | $1111758.99   | 0.19%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4650 LP                                    | CUSIP: 3137BUTP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    335057 | PA      | $321689.83    | 0.05%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3339 HF                                    | CUSIP: 31397JYV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1202783 | PA      | $1197660.31   | 0.20%             | 2037-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BZ4392                                         | CUSIP: 3140NY3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1213000 | PA      | $1211197.99   | 0.21%             | 2030-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2006-79 DF                                  | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     96822 | PA      | $96199.38     | 0.02%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-15 BC                                  | CUSIP: 3136AVNH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    987223 | PA      | $961056.97    | 0.16%             | 2043-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2018-3 MA | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1558220 | PA      | $1496130.15   | 0.25%             | 2057-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 604383                                       | CUSIP: 36200MM83<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |       628 | PA      | $653.52       | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4673 PH                                    | CUSIP: 3137BXEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1576087 | PA      | $1550417.67   | 0.26%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL5400                                         | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    619592 | PA      | $610830.34    | 0.10%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-4 CB                                   | CUSIP: 3136ACFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    585770 | PA      | $568061.67    | 0.10%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 846740                               | CUSIP: 3128HDPZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       184 | PA      | $183.67       | 0.00%             | 2029-04-01      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA0864                                         | CUSIP: 31417Y6A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    205928 | PA      | $205676.74    | 0.03%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4083 DI                                    | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     22225 | PA      | $371.83       | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2017-95 PG           | CUSIP: 38380FKG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    343598 | PA      | $322475.04    | 0.05%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-119 ND          | CUSIP: 38379MVD3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1148316 | PA      | $1076533.81   | 0.18%             | 2044-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5183 IC                                    | CUSIP: 3137H4ZH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3234553 | PA      | $534998.92    | 0.09%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2023-53 GB                                  | CUSIP: 3136BQTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    696208 | PA      | $708073.01    | 0.12%             | 2044-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4709 AB                                    | CUSIP: 3137FAMQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    469999 | PA      | $443486.63    | 0.08%             | 2047-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5491 CV                                    | CUSIP: 3137HHVJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6275808 | PA      | $6363651.26   | 1.08%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS1492                                         | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1852798 | PA      | $1789306.47   | 0.30%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 2571 FY                                    | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1155850 | PA      | $1162493.94   | 0.20%             | 2032-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-98 ZA                                  | CUSIP: 3136AGEA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4950811 | PA      | $4868908.89   | 0.82%             | 2043-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K742 X1   | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7468197 | PA      | $83020.95     | 0.01%             | 2028-03-25      | Floating      | 0.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4996 BI                                    | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3648373 | PA      | $517631.88    | 0.09%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-143 XK          | CUSIP: 38378GF60<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1010005 | PA      | $988895.97    | 0.17%             | 2027-12-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL7364                                         | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    193944 | PA      | $191481.13    | 0.03%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR QN6604                                        | CUSIP: 3133GDKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    591043 | PA      | $540261.63    | 0.09%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2009-77 ZA                                  | CUSIP: 31398FER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    696396 | PA      | $690391.14    | 0.12%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FM7815                                         | CUSIP: 3140XBVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    812215 | PA      | $737405.68    | 0.12%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2022-72 CB                                  | CUSIP: 3136BPAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5186506 | PA      | $5226512.93   | 0.88%             | 2039-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2009-82 FC                                  | CUSIP: 31398FPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1303210 | PA      | $1315339.98   | 0.22%             | 2039-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA6156                                      | CUSIP: 36179UZV7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1052327 | PA      | $1011048.83   | 0.17%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2022-77 CA                                  | CUSIP: 3136BPGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1647559 | PA      | $1640484.24   | 0.28%             | 2039-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AH7877                                         | CUSIP: 3138A9XF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17924 | PA      | $17829.79     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 834666                                         | CUSIP: 31407MJK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3756 | PA      | $3891.50      | 0.00%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K128 X1   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  10100384 | PA      | $233385.54    | 0.04%             | 2031-03-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-126 KI          | CUSIP: 38380BAQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     78087 | PA      | $1059.79      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR SB0386                                        | CUSIP: 3132CWNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1493697 | PA      | $1467721.34   | 0.25%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS0101                                         | CUSIP: 3140XFDF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2195894 | PA      | $2053833.30   | 0.35%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2018-12 PK                                  | CUSIP: 3136B03B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5749287 | PA      | $5647272.44   | 0.96%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-3 IN                                   | CUSIP: 3136ARFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1624190 | PA      | $240263.69    | 0.04%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-111 NI                                 | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    133582 | PA      | $3654.01      | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 783363                                       | CUSIP: 36241LWY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     19996 | PA      | $20615.17     | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AN4021                                         | CUSIP: 3138LGPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1087757 | PA      | $1066125.46   | 0.18%             | 2027-01-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2017-3 MA | CUSIP: 35563PBT5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2974231 | PA      | $2781505.49   | 0.47%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 4372                                        | CUSIP: 36202E2D0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      7430 | PA      | $7949.75      | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BZ0431                                         | CUSIP: 3140NUPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3325000 | PA      | $3400725.68   | 0.58%             | 2029-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K060 A1   | CUSIP: 3137BTAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    442708 | PA      | $438746.92    | 0.07%             | 2026-07-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 696520                                       | CUSIP: 36296NYR1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     20290 | PA      | $20756.62     | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2009-82 FD                                  | CUSIP: 31398FPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1351650 | PA      | $1360788.46   | 0.23%             | 2039-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN CA7114                                         | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    699950 | PA      | $652003.60    | 0.11%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF60 A    | CUSIP: 3137FL7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1512995 | PA      | $1513696.01   | 0.26%             | 2026-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 675613                                       | CUSIP: 36295NSA6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18899 | PA      | $19654.60     | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-34 QJ           | CUSIP: 38383MDR6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   2326607 | PA      | $2147361.15   | 0.36%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-47 QI                                  | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     13589 | PA      | $925.74       | 0.00%             | 2042-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2009-110 FD                                 | CUSIP: 31398GND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1787030 | PA      | $1793101.36   | 0.30%             | 2040-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST SE SCRT 2021-2 TT | CUSIP: 35563P3S6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   6234282 | PA      | $5664169.82   | 0.96%             | 2060-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3736                                      | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1439069 | PA      | $1323244.00   | 0.22%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS3867                                         | CUSIP: 3140XKJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5704566 | PA      | $5603596.24   | 0.95%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2021-3 TI                                   | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3631930 | PA      | $667122.41    | 0.11%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2018-6 CM            | CUSIP: 38380U4R1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3823768 | PA      | $3506450.28   | 0.59%             | 2046-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AZ5012                                         | CUSIP: 3138YWSA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     32338 | PA      | $31153.96     | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2007-47 DA                                  | CUSIP: 31396VL55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    139311 | PA      | $144783.24    | 0.02%             | 2037-05-25      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 310229                                         | CUSIP: 31374CSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2354921 | PA      | $2169163.38   | 0.37%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 722819                                       | CUSIP: 3620A9AU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     57220 | PA      | $57541.67     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2016-91 TJ           | CUSIP: 38379XF47<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4933235 | PA      | $4362746.77   | 0.74%             | 2046-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-77 HI                                  | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2875071 | PA      | $598125.41    | 0.10%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-26 AI                                  | CUSIP: 3136B9YK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1078535 | PA      | $66224.40     | 0.01%             | 2033-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 687731                                       | CUSIP: 36296DA81<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     16698 | PA      | $17486.18     | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA2524                                         | CUSIP: 31418BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     30926 | PA      | $30061.28     | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2009-112 FM                                 | CUSIP: 31398GKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1143411 | PA      | $1147452.60   | 0.19%             | 2040-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2013-4 JB                                   | CUSIP: 3136ACFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    345448 | PA      | $334643.46    | 0.06%             | 2028-02-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2015-75 DB                                  | CUSIP: 3136AQBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1017518 | PA      | $976128.92    | 0.17%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-103 HB                                 | CUSIP: 3136A8ZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    365652 | PA      | $355976.59    | 0.06%             | 2027-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5083 AI                                    | CUSIP: 3137FFMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2994796 | PA      | $416206.62    | 0.07%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-36 AB           | CUSIP: 38378DVY8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    124977 | PA      | $124477.14    | 0.02%             | 2040-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3153 FX                                    | CUSIP: 31396RPG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     38761 | PA      | $38473.78     | 0.01%             | 2036-05-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 681198                                       | CUSIP: 36295UX30<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      5946 | PA      | $6203.25      | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 389 C35                                    | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4234726 | PA      | $556486.68    | 0.09%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-31

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

**Signature:** Glenn Kurdziel

**Name of Signer:** Glenn Kurdziel

**Title:** Controller and Chief Financial Officer