# EDGAR Filing Document

**Accession Number:** 0000701939
**File Stem:** 0001752724-23-074963
**Filing Date:** 2023-3
**Character Count:** 150424
**Document Hash:** fa16a9bdfe0db78c5021b74d704bb2ac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-074963.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-074963

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20230131

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03451
- **FILM NUMBER:** 23783953

**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:** 2023-01-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $787898797.03

**Total Liabilities:** $142816870.56

**Net Assets:** $645081926.47

**Cash Not Reported:** $55631.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1651.99736480 | **1-Year:** -24352.99451333 | **5-Year:** -36057.81010426 | **10-Year:** -18674.30024980 | **30-Year:** -90.51851537

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

- **3-Month:** -327.67177571 | **1-Year:** -4481.68249256 | **5-Year:** -9188.55057726 | **10-Year:** -6257.41206630 | **30-Year:** -501.33626322

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000147419 | 0.82%                | 0.18%                | 0.78%                |
| Class ID C000022552 | 0.80%                | 0.17%                | 0.77%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-195977.46              | $4916585.31                                |
| Month 2  | $-1138197.53             | $773164.34                                 |
| Month 3  | $-266618.81              | $5166204.65                                |

**Designated Index Information**

- **Index Name:** BofA ML 1-3 Year Treasury Index (G1O2)

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association        | GINNIE MAE I POOL GN 711016                                      | CUSIP: 36297F3Z3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    163945 | PA      | $169945.40    | 0.03%             | 2039-11-15      | Fixed         | 5.00%                 | 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        |   1103540 | PA      | $40736.20     | 0.01%             | 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        |    463847 | PA      | $81544.22     | 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        |     68901 | PA      | $70791.73     | 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        |    615279 | PA      | $22421.92     | 0.00%             | 2027-07-25      | Fixed         | 3.00%                 | 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        |       508 | PA      | $518.66       | 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        |   2483930 | PA      | $2467849.04   | 0.38%             | 2041-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F050627<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  42441000 | PA      | $42596837.83  | 6.60%             | 2053-02-15      | Fixed         | 5.00%                 | 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        |     11096 | PA      | $11710.97     | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J09466                                  | CUSIP: 3128PMQT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       952 | PA      | $963.84       | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-165 I          | CUSIP: 38379FK73<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    777925 | PA      | $101908.29    | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J11339                                  | CUSIP: 3128PQPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     10253 | PA      | $10372.56     | 0.00%             | 2024-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   8848000 | PA      | $8991088.71   | 1.39%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2021-3 NI                                  | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4890453 | PA      | $689189.06    | 0.11%             | 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        |    190417 | PA      | $197127.44    | 0.03%             | 2042-02-25      | Fixed         | 7.50%                 | 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        |   3207747 | PA      | $638461.85    | 0.10%             | 2050-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J11722                                  | CUSIP: 3128PQ4F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     55475 | PA      | $56177.80     | 0.01%             | 2025-02-01      | Fixed         | 4.50%                 | 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        |  13576377 | PA      | $495942.33    | 0.08%             | 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        |    319953 | PA      | $9647.83      | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-70 IW                                 | CUSIP: 3136A7GL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    421252 | PA      | $10579.36     | 0.00%             | 2027-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA2110                                        | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2963245 | PA      | $2911560.81   | 0.45%             | 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        |    340318 | PA      | $330666.86    | 0.05%             | 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        |     11999 | PA      | $11686.09     | 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        |    238002 | PA      | $9560.99      | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | 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        |      4569 | PA      | $4695.41      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | 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        |  23413240 | PA      | $427809.06    | 0.07%             | 2026-10-25      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 256255                                        | CUSIP: 31371MTL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     16260 | PA      | $16830.53     | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4195 AI                                   | CUSIP: 3137B1CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    563360 | PA      | $29482.54     | 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        |    319099 | PA      | $14397.18     | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | 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        |    993466 | PA      | $150459.47    | 0.02%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J10954                                  | CUSIP: 3128PQBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      8086 | PA      | $8188.99      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | 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        |   3342294 | PA      | $3233630.98   | 0.50%             | 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        |    282592 | PA      | $292900.88    | 0.05%             | 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        |    303545 | PA      | $308482.99    | 0.05%             | 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        |      1117 | PA      | $1157.80      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12371                                  | CUSIP: 3128PRT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       916 | PA      | $927.64       | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | 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        |   2718348 | PA      | $522339.79    | 0.08%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)                    | CUSIP: 01F040420<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -7700000 | PA      | $-7646460.90  | -1.19%            | 2038-02-15      | Fixed         | 4.00%                 | 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        |   1015766 | PA      | $963249.34    | 0.15%             | 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        |   5194402 | PA      | $5115210.73   | 0.79%             | 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        |    282593 | PA      | $57977.77     | 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        |   4013824 | PA      | $3686391.23   | 0.57%             | 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        |   2109192 | PA      | $2082471.05   | 0.32%             | 2041-06-25      | Floating      | 4.71%                 | 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        |      1460 | PA      | $1486.78      | 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        |     31667 | PA      | $32064.89     | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-26 JI          | CUSIP: 38376VPU5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1338947 | PA      | $280469.90    | 0.04%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G13868                                  | CUSIP: 3128MCQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     70421 | PA      | $71319.96     | 0.01%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 845822                              | CUSIP: 31288VPF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       945 | PA      | $932.50       | 0.00%             | 2024-06-01      | Floating      | 2.84%                 | 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        |  12718705 | PA      | $710473.19    | 0.11%             | 2029-05-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4484 CI                                   | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    443438 | PA      | $36990.27     | 0.01%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2022-177 LA         | CUSIP: 38383UB82<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3999317 | PA      | $3915496.09   | 0.61%             | 2052-01-20      | Fixed         | 3.50%                 | 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        |     40477 | PA      | $40216.42     | 0.01%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4220 IE                                   | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    171357 | PA      | $7205.87      | 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        |   2039096 | PA      | $373537.21    | 0.06%             | 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        |  12377582 | PA      | $1084980.51   | 0.17%             | 2030-01-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 1.750000% 05/15/2023                             | CUSIP: 912828VB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2258000 | PA      | $2238683.51   | 0.35%             | 2023-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZS8551                                       | CUSIP: 3132A9QC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    995019 | PA      | $970192.13    | 0.15%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12162                                  | CUSIP: 3128PRMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      9544 | PA      | $9667.24      | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 323883                                        | CUSIP: 31374TXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     10619 | PA      | $10473.44     | 0.00%             | 2027-08-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12532                                  | CUSIP: 3128PRY52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      7834 | PA      | $7933.87      | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-120 ZB                                | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2654118 | PA      | $2513298.80   | 0.39%             | 2042-11-25      | Fixed         | 3.50%                 | 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        |      7015 | PA      | $7154.46      | 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        |   1000792 | PA      | $956130.62    | 0.15%             | 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        |    166280 | PA      | $5995.43      | 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        |   1729391 | PA      | $1644460.73   | 0.25%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F020620<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        | -10450000 | PA      | $-8782898.44  | -1.36%            | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G13652                                  | CUSIP: 3128MCH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       966 | PA      | $977.56       | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4 SCRT 2019-4 MA | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5404722 | PA      | $5091745.57   | 0.79%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3148 CF                                   | CUSIP: 31396JZE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     82831 | PA      | $81941.54     | 0.01%             | 2034-02-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 1993-32 H                                  | CUSIP: 31358UEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        26 | PA      | $25.67        | 0.00%             | 2023-03-25      | Fixed         | 6.00%                 | 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        |    275593 | PA      | $13396.45     | 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        |    951731 | PA      | $169257.86    | 0.03%             | 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        |   6370862 | PA      | $6239243.77   | 0.97%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 529796                                        | CUSIP: 31384PRR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      8043 | PA      | $7920.23      | 0.00%             | 2029-12-01      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -583 | NC      | $-63688195.31 | -9.87%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AX9550                                        | CUSIP: 3138YBTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      6701 | PA      | $6515.94      | 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        |   1431274 | PA      | $1163428.79   | 0.18%             | 2040-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GINNIE MAE I POOL GN 696548                                      | CUSIP: 36296NZM1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     18131 | PA      | $18498.73     | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | 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        |   1096112 | PA      | $53816.67     | 0.01%             | 2044-08-25      | Floating      | 0.10%                 | 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        |   3545345 | PA      | $341875.49    | 0.05%             | 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        |      1412 | PA      | $1455.82      | 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        |     17439 | PA      | $18443.56     | 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        |   1776357 | PA      | $1691502.33   | 0.26%             | 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        |   2154276 | PA      | $318225.16    | 0.05%             | 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        |    321507 | PA      | $11477.02     | 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        |    215794 | PA      | $8633.65      | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG A90316                                  | CUSIP: 312938K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    809714 | PA      | $821415.88    | 0.13%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BA4768                                        | CUSIP: 3140E9JN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    123893 | PA      | $120356.57    | 0.02%             | 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        |    312050 | PA      | $11617.30     | 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        |      6438 | PA      | $6521.26      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | 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        |   2721315 | PA      | $2393822.95   | 0.37%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -280 | NC      | $-32064375.00 | -4.97%            |  |  |  | No            |                  1 | 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        |    185808 | PA      | $177193.38    | 0.03%             | 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        |      8967 | PA      | $9295.30      | 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        |     56299 | PA      | $54825.32     | 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        |   3638846 | PA      | $3625549.76   | 0.56%             | 2026-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4178 MI                                   | CUSIP: 3137B06E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    214547 | PA      | $8865.15      | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 256774                                        | CUSIP: 31371NFP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2281 | PA      | $2447.12      | 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        |   2131362 | PA      | $2011618.93   | 0.31%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12247                                  | CUSIP: 3128PRP86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     24728 | PA      | $25031.44     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | 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        |    799211 | PA      | $836891.89    | 0.13%             | 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        |    409681 | PA      | $388997.70    | 0.06%             | 2041-11-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-53 IA          | CUSIP: 38379LG91<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    593936 | PA      | $110900.75    | 0.02%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2017-M13 FA                                  | CUSIP: 3136AYP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    269112 | PA      | $266034.29    | 0.04%             | 2024-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2016-25 A                                  | CUSIP: 3136ARR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    153552 | PA      | $151501.90    | 0.02%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G13187                                  | CUSIP: 3128MBXQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |        21 | PA      | $21.57        | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | 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        |   1506793 | PA      | $1387836.48   | 0.22%             | 2042-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4178 BI                                   | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    379149 | PA      | $33945.36     | 0.01%             | 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        |    141911 | PA      | $5725.80      | 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        |   1856719 | PA      | $289988.09    | 0.04%             | 2043-01-15      | Fixed         | 3.50%                 | 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        |   4183252 | PA      | $688833.54    | 0.11%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4060 TI                                   | CUSIP: 3137ARA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    208759 | PA      | $3138.38      | 0.00%             | 2026-12-15      | Fixed         | 2.50%                 | 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        |   6485373 | PA      | $6495762.77   | 1.01%             | 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        |   2122776 | PA      | $398437.75    | 0.06%             | 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        |    827022 | PA      | $794316.60    | 0.12%             | 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        |    205957 | PA      | $203934.26    | 0.03%             | 2036-08-25      | Floating      | 4.91%                 | 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        |    967773 | PA      | $897892.97    | 0.14%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZN6438                                       | CUSIP: 3131YDEK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1214059 | PA      | $1185152.30   | 0.18%             | 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        |    870002 | PA      | $884153.34    | 0.14%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF35 A   | CUSIP: 3137FBA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    316245 | PA      | $315120.87    | 0.05%             | 2024-08-25      | Floating      | 4.74%                 | 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        |   1074902 | PA      | $49142.38     | 0.01%             | 2055-06-25      | Floating      | 0.33%                 | 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        |   1201922 | PA      | $217260.99    | 0.03%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 848900                                        | CUSIP: 31408EDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     22713 | PA      | $23762.61     | 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        |   1618592 | PA      | $1577853.06   | 0.24%             | 2031-12-01      | Fixed         | 3.00%                 | 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        |       648 | PA      | $671.95       | 0.00%             | 2038-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J15128                                  | CUSIP: 3128PUVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     13540 | PA      | $13709.13     | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | 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        |   1180377 | PA      | $1165816.48   | 0.18%             | 2037-07-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5079 CB                                   | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   7685337 | PA      | $6602741.92   | 1.02%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J10986                                  | CUSIP: 3128PQCX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      5322 | PA      | $5388.61      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | 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        |   1893398 | PA      | $283444.31    | 0.04%             | 2042-10-20      | Fixed         | 3.50%                 | 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        |    109053 | PA      | $115153.97    | 0.02%             | 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        |    211436 | PA      | $215052.48    | 0.03%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 2.625000% 06/30/2023                             | CUSIP: 9128284U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  24222000 | PA      | $24021411.56  | 3.72%             | 2023-06-30      | Fixed         | 2.62%                 | 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        |   1066189 | PA      | $112877.70    | 0.02%             | 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        |    638876 | PA      | $125758.34    | 0.02%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-17 BI          | CUSIP: 38379JKC4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    125352 | PA      | $18995.48     | 0.00%             | 2043-05-20      | 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        |    116103 | PA      | $122348.71    | 0.02%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 0.250000% 05/15/2024                             | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  53025000 | PA      | $50147979.62  | 7.77%             | 2024-05-15      | Fixed         | 0.25%                 | 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        |    455101 | PA      | $432081.00    | 0.07%             | 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        |    119789 | PA      | $5096.83      | 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        |   4257944 | PA      | $3546101.79   | 0.55%             | 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        |   3201237 | PA      | $3173506.40   | 0.49%             | 2039-10-20      | Floating      | 4.89%                 | 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        |    115993 | PA      | $121396.39    | 0.02%             | 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        |     32330 | PA      | $31440.69     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AN3070                                        | CUSIP: 3138LFMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1159836 | PA      | $1130824.25   | 0.18%             | 2023-11-01      | Fixed         | 2.05%                 | 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        |      3156 | PA      | $3235.49      | 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        |   5915402 | PA      | $5825841.90   | 0.90%             | 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        |    760577 | PA      | $40437.04     | 0.01%             | 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        |   5111763 | PA      | $5059528.81   | 0.78%             | 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        |    172464 | PA      | $10582.79     | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 2.875000% 06/15/2025                             | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  21125000 | PA      | $20577070.31  | 3.19%             | 2025-06-15      | Fixed         | 2.88%                 | 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        |    817934 | PA      | $741444.29    | 0.11%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J11196                                  | CUSIP: 3128PQKH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       768 | PA      | $777.38       | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AP3051                                        | CUSIP: 3138M6L96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     43440 | PA      | $42006.97     | 0.01%             | 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        |    248989 | PA      | $11487.30     | 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        |   1008016 | PA      | $167641.26    | 0.03%             | 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        |   2094220 | PA      | $1952652.16   | 0.30%             | 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        |   3122260 | PA      | $3130368.57   | 0.49%             | 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        |    972184 | PA      | $953064.10    | 0.15%             | 2029-02-01      | Fixed         | 3.50%                 | 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        |    548289 | PA      | $540067.28    | 0.08%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4182 IE                                   | CUSIP: 3137B0WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    200561 | PA      | $8871.34      | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 555561                                        | CUSIP: 31385XFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     29295 | PA      | $28882.72     | 0.00%             | 2024-09-01      | Floating      | 3.42%                 | 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        |   1200000 | PA      | $1200000.00   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 2.500000% 05/31/2024                             | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  30875000 | PA      | $30039204.18  | 4.66%             | 2024-05-31      | Fixed         | 2.50%                 | 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        |   1637475 | PA      | $152659.95    | 0.02%             | 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        |   5735790 | PA      | $5293366.02   | 0.82%             | 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        |     13997 | PA      | $14554.77     | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | 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        |   1593437 | PA      | $1576882.33   | 0.24%             | 2040-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 833600                                        | CUSIP: 31407LDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      7899 | PA      | $8184.31      | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12499                                  | CUSIP: 3128PRX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      1223 | PA      | $1238.28      | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | 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        |     14546 | PA      | $14235.19     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4146 AB                                   | CUSIP: 3137AXEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1305079 | PA      | $1223700.22   | 0.19%             | 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        |     10075 | PA      | $10544.46     | 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        |    189189 | PA      | $186918.13    | 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        |      1825 | PA      | $1879.98      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | 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        |    936335 | PA      | $34924.92     | 0.01%             | 2055-04-25      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J10938                                  | CUSIP: 3128PQBF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     41890 | PA      | $42416.83     | 0.01%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL2877                                        | CUSIP: 3138EKFT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    202940 | PA      | $200856.27    | 0.03%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | WI TREASURY SEC. 0.250000% 06/15/2024                            | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  51925000 | PA      | $48975822.01  | 7.59%             | 2024-06-15      | Fixed         | 0.25%                 | 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        |   1053926 | PA      | $158622.66    | 0.02%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3795 EB                                   | CUSIP: 3137A5MK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      3273 | PA      | $3245.70      | 0.00%             | 2039-10-15      | Fixed         | 2.50%                 | 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        |   2300000 | PA      | $2300000.00   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5228 DG                                   | CUSIP: 3137H7U76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6869870 | PA      | $6664504.69   | 1.03%             | 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        |    522991 | PA      | $523477.64    | 0.08%             | 2038-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 5170 DP                                   | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2546726 | PA      | $2224330.03   | 0.34%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AM5121                                        | CUSIP: 3138L5VP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    516317 | PA      | $509874.32    | 0.08%             | 2024-01-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS0102                                        | CUSIP: 3140XFDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2424974 | PA      | $2270262.48   | 0.35%             | 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        |   2785784 | PA      | $2665102.33   | 0.41%             | 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        |     67147 | PA      | $2427.74      | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 10YR ULTRA FUT MAR23 FINANCIAL COMMODITY FUTURE.              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -62 | NC      | $-7514593.75  | -1.16%            |  |  |  | No            |                  1 | 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        |   1018287 | PA      | $205187.86    | 0.03%             | 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        |    694266 | PA      | $669437.56    | 0.10%             | 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        |    359845 | PA      | $45820.61     | 0.01%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR RB5124                                       | CUSIP: 3133KYVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    585595 | PA      | $488510.91    | 0.08%             | 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        |    309121 | PA      | $13952.85     | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1725000 | PA      | $1617623.01   | 0.25%             | 2053-02-15      | 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        |   2561238 | PA      | $2454714.74   | 0.38%             | 2037-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FM2399                                        | CUSIP: 3140X5UZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    506812 | PA      | $494166.16    | 0.08%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2 SCRT 2020-2 MA | CUSIP: 35563PQP7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    719827 | PA      | $654546.32    | 0.10%             | 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        |   4234303 | PA      | $4046998.04   | 0.63%             | 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        |    152737 | PA      | $27415.47     | 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        |   1668993 | PA      | $1617132.98   | 0.25%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 1.000000% 12/15/2024                             | CUSIP: 91282CDN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  59075000 | PA      | $55638958.16  | 8.63%             | 2024-12-15      | Fixed         | 1.00%                 | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AH9688                                        | CUSIP: 3138ABXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    188508 | PA      | $190741.08    | 0.03%             | 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        |  11751737 | PA      | $11570390.89  | 1.79%             | 2043-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12026                                  | CUSIP: 3128PRHB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     10624 | PA      | $10761.75     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-68 IB                                 | CUSIP: 3136AXQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1998199 | PA      | $373524.86    | 0.06%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 1994-77 FB                                 | CUSIP: 31359HA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       167 | PA      | $167.37       | 0.00%             | 2024-04-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AI9810                                        | CUSIP: 3138AP3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    207745 | PA      | $206294.15    | 0.03%             | 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        |   5697603 | PA      | $5605193.98   | 0.87%             | 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        |     98347 | PA      | $102582.84    | 0.02%             | 2039-01-15      | Fixed         | 5.50%                 | 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        |      2263 | PA      | $2320.68      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G14205                                  | CUSIP: 3128MC3N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      1477 | PA      | $1496.39      | 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        |      9148 | PA      | $9377.48      | 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        |   3922791 | PA      | $3897672.67   | 0.60%             | 2026-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J10358                                  | CUSIP: 3128PPMF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      1864 | PA      | $1886.13      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | 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        |   3324160 | PA      | $3280624.56   | 0.51%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F042624<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -6351000 | PA      | $-6271612.50  | -0.97%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3 SCRT 2021-3 TT | CUSIP: 35563P5Y1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1627413 | PA      | $1465176.20   | 0.23%             | 2061-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)                    | CUSIP: 01F022428<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |  -7200000 | PA      | $-6723212.47  | -1.04%            | 2038-02-15      | Fixed         | 2.50%                 | 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        |    435210 | PA      | $44307.81     | 0.01%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-185 GI         | CUSIP: 38379F3V9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    287623 | PA      | $9283.08      | 0.00%             | 2041-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3219 EF                                   | CUSIP: 31397BF48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1798691 | PA      | $1783149.86   | 0.28%             | 2032-04-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12189                                  | CUSIP: 3128PRNE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      8076 | PA      | $8178.86      | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G08737                                  | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4023778 | PA      | $3730735.77   | 0.58%             | 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        |   1017354 | PA      | $982658.10    | 0.15%             | 2039-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 970999                                        | CUSIP: 31414NGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      1968 | PA      | $1961.19      | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4471 GA                                   | CUSIP: 3137BJGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1137574 | PA      | $1076163.94   | 0.17%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 2.750000% 05/15/2025                             | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  42300000 | PA      | $41085527.24  | 6.37%             | 2025-05-15      | Fixed         | 2.75%                 | 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        |     37080 | PA      | $38458.94     | 0.01%             | 2038-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J11053                                  | CUSIP: 3128PQE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      6334 | PA      | $6414.18      | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 386 C14                                   | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4336063 | PA      | $636184.51    | 0.10%             | 2052-03-15      | 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        |   3000000 | PA      | $2822655.30   | 0.44%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 845838                              | CUSIP: 31288VPX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      1859 | PA      | $1834.58      | 0.00%             | 2024-07-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN BM3417                                        | CUSIP: 3140J7YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    437713 | PA      | $431093.55    | 0.07%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12293                                  | CUSIP: 3128PRRN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     11679 | PA      | $11829.44     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | 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        |     39526 | PA      | $39208.05     | 0.01%             | 2032-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K052 A1  | CUSIP: 3137BMTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   3949957 | PA      | $3847667.50   | 0.60%             | 2025-01-25      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4344 KZ                                   | CUSIP: 3137BAJM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4774201 | PA      | $4553922.72   | 0.71%             | 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        |  17836647 | PA      | $483269.68    | 0.07%             | 2027-06-25      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US TREASURY N/B 2.500000% 04/30/2024                             | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   6240000 | PA      | $6078393.73   | 0.94%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AD0889                                        | CUSIP: 31418M7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     19009 | PA      | $18894.94     | 0.00%             | 2024-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS2749                                        | CUSIP: 3140XJBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  30380321 | PA      | $29703041.35  | 4.60%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4820 JI                                   | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    679607 | PA      | $140989.99    | 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        |    923548 | PA      | $878204.24    | 0.14%             | 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        |    548441 | PA      | $85608.66     | 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        |   2673807 | PA      | $439463.50    | 0.07%             | 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        |    644706 | PA      | $655192.13    | 0.10%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG E02698                                  | CUSIP: 31294L7K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       559 | PA      | $566.46       | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | 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        |   1321545 | PA      | $228353.17    | 0.04%             | 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        |     86317 | PA      | $91242.12     | 0.01%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3628 PJ                                   | CUSIP: 31398LUM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    666675 | PA      | $660178.34    | 0.10%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 845836                              | CUSIP: 31288VPV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       273 | PA      | $269.87       | 0.00%             | 2024-06-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC POOL FR ZK7453                                       | CUSIP: 3131XBH69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   5433062 | PA      | $5297499.76   | 0.82%             | 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        |     48316 | PA      | $47704.94     | 0.01%             | 2029-08-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC STRIPS FHS 303 C2                                    | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    762580 | PA      | $37465.81     | 0.01%             | 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        |   4047325 | PA      | $4062045.33   | 0.63%             | 2033-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1 SCRT 2018-1 MA | CUSIP: 35563PDZ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4080210 | PA      | $3845173.01   | 0.60%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 3174 FA                                   | CUSIP: 31396TLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1173726 | PA      | $1159826.43   | 0.18%             | 2036-04-15      | Floating      | 4.76%                 | 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        |    226162 | PA      | $43218.64     | 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        |   1021409 | PA      | $956081.40    | 0.15%             | 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        |   1196335 | PA      | $1123283.44   | 0.17%             | 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        |    632582 | PA      | $106644.65    | 0.02%             | 2047-02-20      | Fixed         | 5.50%                 | 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        |   2061868 | PA      | $2099365.98   | 0.33%             | 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        |   1466819 | PA      | $1309339.06   | 0.20%             | 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        |   2521844 | PA      | $2415282.58   | 0.37%             | 2057-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                        | US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       951 | NC      | $195571664.06 | 30.32%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2012-43 AI                                 | CUSIP: 3136A5YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2027425 | PA      | $95286.16     | 0.01%             | 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        |   1642773 | PA      | $1614115.28   | 0.25%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4340 MI                                   | CUSIP: 3137BAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    941279 | PA      | $41436.41     | 0.01%             | 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        |   2087508 | PA      | $1983055.00   | 0.31%             | 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        |       756 | PA      | $776.85       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2020-85 PI                                 | CUSIP: 3136BCU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4213275 | PA      | $651822.76    | 0.10%             | 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        |   1937059 | PA      | $1815244.35   | 0.28%             | 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        |   1622850 | PA      | $263656.40    | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | 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        |   1641725 | PA      | $1558576.34   | 0.24%             | 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        |   1003934 | PA      | $957085.56    | 0.15%             | 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        |   1671507 | PA      | $1493651.05   | 0.23%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 845547                              | CUSIP: 31288VEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      2150 | PA      | $2127.92      | 0.00%             | 2023-12-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4650 LP                                   | CUSIP: 3137BUTP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    503982 | PA      | $479615.55    | 0.07%             | 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        |   1764537 | PA      | $1752627.46   | 0.27%             | 2037-07-15      | Floating      | 4.98%                 | 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        |    159313 | PA      | $158052.50    | 0.02%             | 2036-08-25      | Floating      | 4.86%                 | 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        |   1851258 | PA      | $1766305.38   | 0.27%             | 2043-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3 SCRT 2018-3 MA | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2289996 | PA      | $2200108.40   | 0.34%             | 2057-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J09875                                  | CUSIP: 3128PM6L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      5653 | PA      | $5724.38      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | 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        |       896 | PA      | $921.28       | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL5400                                        | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    840135 | PA      | $853805.15    | 0.13%             | 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        |   2071851 | PA      | $1938831.76   | 0.30%             | 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        |      1474 | PA      | $1450.36      | 0.00%             | 2029-04-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 845782                              | CUSIP: 31288VM71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      1265 | PA      | $1249.38      | 0.00%             | 2024-05-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG C90689                                  | CUSIP: 31335HXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |        17 | PA      | $16.91        | 0.00%             | 2023-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC NON GOLD POOL FH 846767                              | CUSIP: 3128HDQU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     15959 | PA      | $15798.12     | 0.00%             | 2023-12-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12650                                  | CUSIP: 3128PR5K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     13000 | PA      | $13141.76     | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN MA0864                                        | CUSIP: 31417Y6A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    351169 | PA      | $357176.89    | 0.06%             | 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        |    108320 | PA      | $5081.99      | 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        |    575216 | PA      | $534299.91    | 0.08%             | 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        |   1807878 | PA      | $1681686.66   | 0.26%             | 2044-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2013-47 IA          | CUSIP: 38378JXN7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    356220 | PA      | $64557.62     | 0.01%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4709 AB                                   | CUSIP: 3137FAMQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    658500 | PA      | $617417.96    | 0.10%             | 2047-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F022626<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    914000 | PA      | $800205.02    | 0.12%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 2571 FY                                   | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1985095 | PA      | $1997559.61   | 0.31%             | 2032-12-15      | Floating      | 5.21%                 | 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        |   6815216 | PA      | $6866775.30   | 1.06%             | 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        |   7590211 | PA      | $209757.01    | 0.03%             | 2028-03-25      | Floating      | 0.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC REMICS FHR 4996 BI                                   | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4159397 | PA      | $613915.32    | 0.10%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AL7364                                        | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    261950 | PA      | $266210.53    | 0.04%             | 2043-09-01      | Fixed         | 4.50%                 | 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        |   1899230 | PA      | $1920281.78   | 0.30%             | 2039-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J10727                                  | CUSIP: 3128PPYY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     19602 | PA      | $19792.40     | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J11164                                  | CUSIP: 3128PQJH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       301 | PA      | $304.97       | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | 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        |   1437818 | PA      | $1437890.12   | 0.22%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN AH7877                                        | CUSIP: 3138A9XF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    110524 | PA      | $109752.35    | 0.02%             | 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        |      4390 | PA      | $4544.07      | 0.00%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 15YR TBA (FEBRUARY)                    | CUSIP: 01F032427<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              | USGA              | US        |   -244000 | PA      | $-237913.40   | -0.04%            | 2038-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE REMICS FNR 2017-47 AB                                 | CUSIP: 3136AWWN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1286267 | PA      | $1262986.34   | 0.20%             | 2041-10-25      | Fixed         | 2.50%                 | 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        |  10171124 | PA      | $330565.59    | 0.05%             | 2031-03-25      | Floating      | 0.52%                 | 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        |    296370 | PA      | $13748.36     | 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        |   2961415 | PA      | $2901849.05   | 0.45%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN 313752                                        | CUSIP: 31374GQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       586 | PA      | $582.12       | 0.00%             | 2028-05-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN FS0101                                        | CUSIP: 3140XFDF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   3065356 | PA      | $2869810.18   | 0.44%             | 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        |  10772453 | PA      | $10339229.54  | 1.60%             | 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        |   2584253 | PA      | $465718.08    | 0.07%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J12347                                  | CUSIP: 3128PRTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     18758 | PA      | $18998.87     | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | 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        |    472884 | PA      | $25859.92     | 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        |     29229 | PA      | $30264.67     | 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        |   1158497 | PA      | $1114359.62   | 0.17%             | 2027-01-01      | Fixed         | 2.96%                 | 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        |     11835 | PA      | $12611.90     | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J10982                                  | CUSIP: 3128PQCT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       818 | PA      | $828.29       | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | 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        |     31490 | PA      | $32362.43     | 0.01%             | 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        |   2055585 | PA      | $2071689.79   | 0.32%             | 2039-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE POOL FN CA7114                                        | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    956564 | PA      | $897086.90    | 0.14%             | 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        |   2788382 | PA      | $2772641.84   | 0.43%             | 2026-02-25      | Floating      | 4.88%                 | 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        |     20968 | PA      | $21731.98     | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG G13593                                  | CUSIP: 3128MCGA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       243 | PA      | $246.16       | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | 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        |     49679 | PA      | $4069.56      | 0.00%             | 2042-05-25      | Floating      | 5.54%                 | 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        |   2501044 | PA      | $2509610.33   | 0.39%             | 2040-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED CREDIT RISK TRANSFER TRUST | SEASONED CREDIT RISK TRANSFER TRUST SCRT 2021-2 TT               | CUSIP: 35563P3S6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   9698319 | PA      | $8761010.79   | 1.36%             | 2060-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2014-M8 A2                                   | CUSIP: 3136AKQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  28554549 | PA      | $27787413.54  | 4.31%             | 2024-06-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL 30YR TBA (FEBRUARY)                           | CUSIP: 21H042620<br>LEI: N/A                  | Short            | DBT              | USGA              | US        |  -1525000 | PA      | $-1514039.06  | -0.23%            | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2      | GINNIE MAE II POOL G2 MA3736                                     | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1856409 | PA      | $1780338.91   | 0.28%             | 2046-06-20      | Fixed         | 3.50%                 | 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        |   4152463 | PA      | $669420.19    | 0.10%             | 2051-02-25      | 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        |     53837 | PA      | $52428.36     | 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        |    201846 | PA      | $207696.26    | 0.03%             | 2037-05-25      | Fixed         | 5.60%                 | 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        |     64164 | PA      | $66224.40     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | 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        |   2569160 | PA      | $177782.05    | 0.03%             | 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        |     18720 | PA      | $19402.03     | 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        |     60268 | PA      | $58693.60     | 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        |   1607745 | PA      | $1613358.44   | 0.25%             | 2040-01-25      | Floating      | 5.26%                 | 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        |   1194008 | PA      | $1117800.07   | 0.17%             | 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        |   1605621 | PA      | $1529818.13   | 0.24%             | 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        |   1460505 | PA      | $1376941.82   | 0.21%             | 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        |   3443564 | PA      | $502004.49    | 0.08%             | 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        |    308883 | PA      | $300583.12    | 0.05%             | 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        |     61059 | PA      | $60366.87     | 0.01%             | 2036-05-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | FREDDIE MAC GOLD POOL FG J07547                                  | CUSIP: 3128PKL44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |       493 | PA      | $496.80       | 0.00%             | 2023-04-01      | Fixed         | 4.50%                 | 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        |      6642 | PA      | $6884.33      | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE-ACES FNA 2018-M12 FA                                  | CUSIP: 3136B23J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    218908 | PA      | $217451.38    | 0.03%             | 2025-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FANNIE MAE OR FREDDIE MAC 30YR TBA (FEBRUARY)                    | CUSIP: 01F040628<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    150000 | PA      | $144843.75    | 0.02%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association           | FEDERAL NATIONAL MORTGAGE ASSOCIATION 30YR TBA FEBRUARY          | CUSIP: 01F030629<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | DBT              |  | US        | -25525000 | PA      | $-23183878.91 | -3.59%            | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO