# EDGAR Filing Document

**Accession Number:** 0000892071
**File Stem:** 0001752724-25-156623
**Filing Date:** 2025-6
**Character Count:** 183702
**Document Hash:** 9628d6f188562481513317152b4a1590
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-156623.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-156623

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW FUNDS INC
- **CENTRAL INDEX KEY:** 0000892071

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07170
- **FILM NUMBER:** 251075189

**BUSINESS ADDRESS:**
- **STREET 1:** 865 SOUTH FIGUEROA STREET
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** 865 SOUTH FIGUEROA STREET
- **STREET 2:** SUITE 1800
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90017

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW GALILEO FUNDS INC
- **DATE OF NAME CHANGE:** 19950113

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### TCW Securitized Bond Fund (Series ID: S000006330)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017410 | I Class      | TGLMX           |
| C000017411 | N Class      | TGMNX           |
| C000218394 | Plan Class   | TGLSX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW FUNDS INC

- **b. Investment Company Act file number:** 811-07170

- **c. CIK number of Registrant:** 0000892071

- **d. LEI of Registrant:** 54930078E2I2DS4UJ217

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

- **a. Name of Series:** TCW Securitized Bond Fund

- **b. EDGAR series identifier (if any):** S000006330

- **c. LEI of Series:** 549300Y1Y22MX8MB2328

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $2344896774.59

**Total Liabilities:** $506160683.34

**Net Assets:** $1838736091.25

**Delayed Delivery Securities:** $100042470.71

**Cash Not Reported:** $4791886.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1069.87000000 | **1-Year:** -14913.12000000 | **5-Year:** -72630.44000000 | **10-Year:** -27703.51000000 | **30-Year:** -273.27000000

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

- **3-Month:** -2310.48000000 | **1-Year:** -30869.95000000 | **5-Year:** -64373.97000000 | **10-Year:** -25678.26000000 | **30-Year:** -795.75000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218394 | 2.85%                | 0.13%                | 0.39%                |
| Class ID C000017411 | 2.77%                | 0.13%                | 0.37%                |
| Class ID C000017410 | 2.85%                | 0.13%                | 0.38%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4716550.28              | $36295957.86                               |
| Month 2  | $5296380.07              | $-4020372.65                               |
| Month 3  | $-2056804.20             | $2352931.13                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSSTAT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Progress Residential Trust                        | Progress Residential 2021-SFR3                                                 | CUSIP: 74333VAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3329392.20   | 0.18%             | 2026-05-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B13 Mortgage Trust                                              | CUSIP: 08162DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4533150.50   | 0.25%             | 2057-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                  | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131481 | PA      | $111286.10    | 0.01%             | 2037-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust               | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6625604 | PA      | $6198490.82   | 0.34%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38379LFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14604750 | PA      | $12878802.37  | 0.70%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2024-SFR5 Trust                                           | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4621000 | PA      | $4269880.71   | 0.23%             | 2029-08-09      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  71550000 | PA      | $66666891.38  | 3.63%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2006-AB1                                   | CUSIP: 57643LNX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150665 | PA      | $127483.25    | 0.01%             | 2036-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-R6                                                              | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8879589 | PA      | $8097482.09   | 0.44%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140Q8WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9340642 | PA      | $8866003.25   | 0.48%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31394GM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388566 | PA      | $302690.73    | 0.02%             | 2033-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128LXE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37119 | PA      | $37881.19     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21050000 | PA      | $20609623.48  | 1.12%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308124 | PA      | $307710.25    | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                   | Mid-State Capital Corp 2005-1 Trust                                            | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443638 | PA      | $443078.37    | 0.02%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14424304 | PA      | $12299767.19  | 0.67%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3138WKQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587899 | PA      | $557327.48    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS2 Trust                                                     | CUSIP: 74923CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7203351 | PA      | $74683.63     | 0.00%             | 2037-01-25      | Variable      | 0.30%                 | No            |                  3 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2005-4                                            | CUSIP: 576434Q49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3855017 | PA      | $3084530.70   | 0.17%             | 2035-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2020-VIV4                                         | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7785000 | PA      | $7065795.23   | 0.38%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137FMLW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    955192 | PA      | $866045.39    | 0.05%             | 2049-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12303690 | PA      | $11493954.84  | 0.63%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Series 2005-1                                                  | CUSIP: 16165TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1988011 | PA      | $1388545.09   | 0.08%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6865000 | PA      | $6451059.72   | 0.35%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR3 Trust                                                           | CUSIP: 001807AH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6402000 | PA      | $6329248.31   | 0.34%             | 2037-09-17      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust  | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                 | CUSIP: 59024VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    694822 | PA      | $686026.41    | 0.04%             | 2037-06-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-3 Trust                                           | CUSIP: 058931BF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    897394 | PA      | $807587.90    | 0.04%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR3 Trust                                                           | CUSIP: 001807AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2682000 | PA      | $2646238.75   | 0.14%             | 2037-09-17      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2021-1 Trust                                         | CUSIP: 21873LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  46407137 | PA      | $1090646.60   | 0.06%             | 2053-04-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A4                                               | CUSIP: 46628LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154165 | PA      | $104301.11    | 0.01%             | 2036-06-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2019-R3                                                              | CUSIP: 12559PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7571997 | PA      | $6947267.48   | 0.38%             | 2058-06-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust      | Wells Fargo Mortgage Backed Securities 2006-AR11 Trust                         | CUSIP: 94984CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766303 | PA      | $685661.30    | 0.04%             | 2036-08-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS               | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust       | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15044887 | PA      | $4615100.21   | 0.25%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31417C3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15511842 | PA      | $14117961.07  | 0.77%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2006-AR1                                   | CUSIP: 07401LAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7594807 | PA      | $6953510.96   | 0.38%             | 2036-08-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  57975000 | PA      | $52315190.63  | 2.85%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  53800000 | PA      | $42687394.80  | 2.32%             | 2055-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                     | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22975000 | PA      | $21383303.49  | 1.16%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QA13 Trust                                                    | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322816 | PA      | $277929.98    | 0.02%             | 2035-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5059337 | PA      | $4663806.10   | 0.25%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust                 | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1694997 | PA      | $1349144.78   | 0.07%             | 2046-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380B7H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5534485 | PA      | $4686691.63   | 0.25%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset              | Merrill Lynch Alternative Note Asset Trust Series 2007-A1                      | CUSIP: 59023MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734171 | PA      | $216668.14    | 0.01%             | 2037-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396QN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232075 | PA      | $25334.37     | 0.00%             | 2039-09-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137ABTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567460 | PA      | $457373.80    | 0.02%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BHXL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    759044 | PA      | $53.28        | 0.00%             | 2043-04-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38379WVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11903124 | PA      | $9803038.94   | 0.53%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11850862 | PA      | $10893851.62  | 0.59%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust        | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                           | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |  18047000 | PA      | $15502964.94  | 0.84%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2007-AR1                                              | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3563085 | PA      | $2864573.03   | 0.16%             | 2037-03-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-HYB1                                      | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26645 | PA      | $21824.96     | 0.00%             | 2037-03-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust 2006-13                                                        | CUSIP: 52523LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        88 | PA      | $0.00         | 0.00%             | 2036-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1225435 | PA      | $1191801.81   | 0.06%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140MNN93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13658279 | PA      | $11856220.28  | 0.64%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                    | Apidos CLO XXXVII                                                              | CUSIP: 03769HAC1<br>LEI: 549300OGB01ASKLNI660 | Long             | ABS-CBDO         | CORP              | KY        |   6795000 | PA      | $6801720.26   | 0.37%             | 2034-10-22      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2006-AR39                                     | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3848344 | PA      | $3486974.99   | 0.19%             | 2037-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust Series 2007-FF2                             | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30072777 | PA      | $15407507.40  | 0.84%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31412TGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112009 | PA      | $113866.83    | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2005-10                                                 | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1015006 | PA      | $989456.74    | 0.05%             | 2035-10-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                             | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7432264.80   | 0.40%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII               | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                              | CUSIP: 07336PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3532294 | PA      | $3592731.63   | 0.20%             | 2047-06-25      | Floating      | 8.36%                 | No            |                  3 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | C-BASS 2006-CB9 TRUST                                                          | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10998390 | PA      | $4897510.62   | 0.27%             | 2036-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19340594 | PA      | $17907420.42  | 0.97%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                             | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196000 | PA      | $1116359.32   | 0.06%             | 2041-12-09      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31397LRC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196737 | PA      | $3965.15      | 0.00%             | 2038-05-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140KSZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14710768 | PA      | $11684209.55  | 0.64%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS1 Trust                                                     | CUSIP: 74922KAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1074937 | PA      | $5600.53      | 0.00%             | 2037-01-25      | Variable      | 0.17%                 | No            |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2020-555                                   | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9400000 | PA      | $8377263.08   | 0.46%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                             | One Bryant Park Trust 2019-OBP                                                 | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6870000 | PA      | $6145974.82   | 0.33%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-4 Trust                                         | CUSIP: 21873AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22620731 | PA      | $387230.71    | 0.02%             | 2052-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2007-2                                            | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9383874 | PA      | $6687416.18   | 0.36%             | 2047-05-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA5 Trust                                                    | CUSIP: 76111XZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6558 | PA      | $5813.50      | 0.00%             | 2035-11-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                           | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3633210 | PA      | $3080140.25   | 0.17%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.              | Fieldstone Mortgage Investment Trust Series 2007-1                             | CUSIP: 31659YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2247480 | PA      | $1660324.68   | 0.09%             | 2047-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust               | Bear Stearns Mortgage Funding Trust 2006-AR3                                   | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226231 | PA      | $195286.38    | 0.01%             | 2036-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                 | CUSIP: 46630BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23569737 | PA      | $11132003.22  | 0.61%             | 2036-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                      | Hudson Yards 2019-55HY Mortgage Trust                                          | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1610196.35   | 0.09%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137APLC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069131 | PA      | $127936.76    | 0.01%             | 2042-04-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14360225 | PA      | $12465551.69  | 0.68%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137A5Q23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2739775 | PA      | $304059.04    | 0.02%             | 2041-01-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31398EX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1940861 | PA      | $223452.95    | 0.01%             | 2039-07-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust Series 2007-FF1                             | CUSIP: 32028TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2894554 | PA      | $1551766.21   | 0.08%             | 2038-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31374CLN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353787 | PA      | $376952.91    | 0.02%             | 2047-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2005-AC6                          | CUSIP: 073879L63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1287103 | PA      | $1227551.87   | 0.07%             | 2035-09-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                             | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1011785.90   | 0.06%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19494967 | PA      | $16927354.46  | 0.92%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                    | CAMB Commercial Mortgage Trust 2019-LIFE                                       | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6425000 | PA      | $6394691.35   | 0.35%             | 2037-12-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396QJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325464 | PA      | $134651.35    | 0.01%             | 2039-07-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                          | Vantage Data Centers Issuer LLC                                                | CUSIP: 92212KAB2<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   8800000 | PA      | $8675707.92   | 0.47%             | 2045-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                               | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2867216 | PA      | $1601411.03   | 0.09%             | 2036-05-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-5C6 Mortgage Trust                                                    | CUSIP: 05593QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2386111.53   | 0.13%             | 2057-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2022-3 LLC                                                                | CUSIP: 693589AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12966581 | PA      | $12967446.74  | 0.71%             | 2027-06-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140QKVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14634926 | PA      | $12322089.45  | 0.67%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                   | CUSIP: 00442JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5538064 | PA      | $2198278.18   | 0.12%             | 2037-03-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19080292 | PA      | $15179735.99  | 0.83%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR7 Trust                                           | CUSIP: 74333PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8970000 | PA      | $8346375.10   | 0.45%             | 2040-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                     | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13675000 | PA      | $11151107.81  | 0.61%             | 2054-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR11 Trust                                          | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2874000 | PA      | $2767123.41   | 0.15%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-BPNY                                                                 | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18152151 | PA      | $16753629.37  | 0.91%             | 2026-08-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2021-R3                                                              | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9790303 | PA      | $9030835.49   | 0.49%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                             | CUSIP: 3142G42A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  69626977 | PA      | $9093912.58   | 0.49%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QA7 Trust                                                     | CUSIP: 76110H7B9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735139 | PA      | $685373.26    | 0.04%             | 2035-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS4 Trust                                                     | CUSIP: 74923HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3752921 | PA      | $46329.80     | 0.00%             | 2037-03-25      | Variable      | 0.38%                 | No            |                  3 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-R7                                                              | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13718732 | PA      | $12556106.24  | 0.68%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4193967 | PA      | $4073854.12   | 0.22%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2006-12N                                                | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517738 | PA      | $1517798.17   | 0.08%             | 2046-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38383UAQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32067325 | PA      | $3149373.01   | 0.17%             | 2052-07-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136A2N58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10938871 | PA      | $1404909.00   | 0.08%             | 2041-12-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS8 Trust                                                     | CUSIP: 74922UAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8296307 | PA      | $143081.42    | 0.01%             | 2037-06-25      | Variable      | 0.44%                 | No            |                  3 | On Loan: No      |
| NY Commercial Mortgage Trust                      | NY Commercial Mortgage Trust 2025-299P                                         | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $5982868.73   | 0.33%             | 2047-02-10      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                     | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36925000 | PA      | $31466949.59  | 1.71%             | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137BRNR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1977000 | PA      | $1850920.34   | 0.10%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS3 Trust                                                     | CUSIP: 75116BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34670762 | PA      | $509452.17    | 0.03%             | 2037-02-25      | Variable      | 0.36%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    828040 | PA      | $737545.80    | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2613480 | PA      | $2477418.82   | 0.13%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31398CVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2104244 | PA      | $222837.30    | 0.01%             | 2039-05-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8734000 | PA      | $460369.14    | 0.03%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2696223 | PA      | $2647191.54   | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5765380 | PA      | $5528800.29   | 0.30%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-5C25                                                 | CUSIP: 05554VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5625000 | PA      | $5727783.94   | 0.31%             | 2057-03-15      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140JAUD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5078789 | PA      | $4758494.53   | 0.26%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1937270 | PA      | $168185.81    | 0.01%             | 2037-03-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2023-R1                                                              | CUSIP: 12569RAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13400000 | PA      | $11068744.38  | 0.60%             | 2062-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust                 | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1808718 | PA      | $1654028.44   | 0.09%             | 2035-01-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust               | MASTR Seasoned Securitization Trust 2004-1                                     | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2743 | PA      | $2666.73      | 0.00%             | 2032-10-25      | Variable      | 7.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S2                                               | CUSIP: 46628YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26027 | PA      | $0.00         | 0.00%             | 2021-06-25      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4399091 | PA      | $4273103.54   | 0.23%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2004-B Trust                                           | CUSIP: 05946XJB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132953 | PA      | $105321.59    | 0.01%             | 2034-12-20      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                            | Switch ABS Issuer LLC                                                          | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3807989.16   | 0.21%             | 2054-06-25      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38384YEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28853844 | PA      | $2508680.76   | 0.14%             | 2054-10-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                    | FirstKey Homes 2021-SFR3 Trust                                                 | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5270064.80   | 0.29%             | 2038-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QA1 Trust                                                     | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8507 | PA      | $5600.03      | 0.00%             | 2036-01-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31397M4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317529 | PA      | $6674.36      | 0.00%             | 2039-02-25      | Floating      | 1.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140NBQE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4801180 | PA      | $4719883.03   | 0.26%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-1                                                  | CUSIP: 45254NML8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253110 | PA      | $240721.17    | 0.01%             | 2035-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090557 | PA      | $948552.16    | 0.05%             | 2036-05-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38379LAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19778436 | PA      | $17936896.19  | 0.98%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust Series 2007-FF1                             | CUSIP: 32028TAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14167667 | PA      | $7599268.79   | 0.41%             | 2038-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2412415 | PA      | $2107859.93   | 0.11%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2021-WILL                                                            | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4388010 | PA      | $4347449.15   | 0.24%             | 2038-06-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-OPT3                                            | CUSIP: 83612KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3629504.80   | 0.20%             | 2037-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31396RH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1721259 | PA      | $1435796.86   | 0.08%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 133320524 | PA      | $17180697.32  | 0.93%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-CNP                                        | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18000000 | PA      | $15637755.60  | 0.85%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                      | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $5664321.75   | 0.31%             | 2040-02-12      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3133C0U26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18013289 | PA      | $17291029.12  | 0.94%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2007-AR4                        | CUSIP: 86364MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10835565 | PA      | $9406471.25   | 0.51%             | 2047-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2007-3XS                                    | CUSIP: 61752RAM4<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   2001359 | PA      | $585546.59    | 0.03%             | 2047-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS6 Trust                                                     | CUSIP: 75116CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1182825 | PA      | $966693.66    | 0.05%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140MMTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12203114 | PA      | $10183480.06  | 0.55%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1156646 | PA      | $1192111.93   | 0.06%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2005-QA8 Trust                                                     | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2218243 | PA      | $1136436.53   | 0.06%             | 2035-07-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | C-BASS Mortgage Loan Trust 2007-CB2                                            | CUSIP: 1248MBAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2013937 | PA      | $1185801.66   | 0.06%             | 2037-02-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                         | CUSIP: 03880RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11800000 | PA      | $11815753.59  | 0.64%             | 2036-11-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                  | Grace Trust 2020-GRCE                                                          | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13360000 | PA      | $11669205.16  | 0.63%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                   | Cologix Data Centers US Issuer LLC                                             | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3812873.60   | 0.21%             | 2051-12-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2024-V10 Mortgage Trust                                              | CUSIP: 08163UAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4694000 | PA      | $4797799.36   | 0.26%             | 2057-09-15      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QA2 Trust                                                     | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9815 | PA      | $6198.51      | 0.00%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust      | STARM Mortgage Loan Trust 2007-2                                               | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79114 | PA      | $43046.69     | 0.00%             | 2037-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140MNMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17471864 | PA      | $15168675.57  | 0.82%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10980184 | PA      | $9145520.67   | 0.50%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8688610 | PA      | $8317725.52   | 0.45%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BGME Trust                                        | BGME Trust 2021-VR                                                             | CUSIP: 05551XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2431150.80   | 0.13%             | 2043-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136B2JS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1322998 | PA      | $1234147.74   | 0.07%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2007-7AX                                    | CUSIP: 61754HAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2549179 | PA      | $657237.05    | 0.04%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132ADUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6724778 | PA      | $6181424.99   | 0.34%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2007-NC2                        | CUSIP: 81378GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600223 | PA      | $8909848.88   | 0.48%             | 2037-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                    | CAMB Commercial Mortgage Trust 2021-CX2                                        | CUSIP: 12477BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4063725.00   | 0.22%             | 2046-11-10      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust  | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                 | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2198545 | PA      | $1572056.80   | 0.09%             | 2037-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-4                                                   | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461416 | PA      | $308706.11    | 0.02%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                             | CUSIP: 3133Q5E51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  81080884 | PA      | $10524677.45  | 0.57%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6004288 | PA      | $1336670.44   | 0.07%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 1345 Ave of the Americas & Park Ave Plaza Trust   | 1345 Avenue of the Americas & Park Avenue Plaza Trust                          | CUSIP: 68275CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9834081 | PA      | $9792142.24   | 0.53%             | 2035-08-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140N26Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16385651 | PA      | $15713272.50  | 0.85%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-P1                                         | CUSIP: 14688EAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2950 | PA      | $286201.26    | 0.02%             | 2030-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2005-SP1 Trust                                                     | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544729 | PA      | $541223.20    | 0.03%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                            | Flexential Issuer 2021-1                                                       | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7580000 | PA      | $7234401.27   | 0.39%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9225747 | PA      | $8886055.50   | 0.48%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N3                                         | CUSIP: 14687GAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25650 | PA      | $1636444.73   | 0.09%             | 2028-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                          | CSMCM 2021-RPL11 Trust                                                         | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497197 | PA      | $379067.85    | 0.02%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396WC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209748 | PA      | $17651.24     | 0.00%             | 2037-07-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                               | Hotwire Funding LLC                                                            | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $948629.13    | 0.05%             | 2054-06-20      | Fixed         | 9.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS5 Trust                                                     | CUSIP: 75114TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1751029 | PA      | $1456745.10   | 0.08%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136A4Y78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1883772.04   | 0.10%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4038423 | PA      | $3922764.88   | 0.21%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2022-INV1                                             | CUSIP: 465973AT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6674888 | PA      | $5494417.37   | 0.30%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14215029 | PA      | $11839860.21  | 0.64%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust  | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                 | CUSIP: 59023LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4459009 | PA      | $1707672.09   | 0.09%             | 2037-04-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                            | Conseco Finance Corp                                                           | CUSIP: 393505W32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329210 | PA      | $331455.75    | 0.02%             | 2030-12-01      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-5C27                                                 | CUSIP: 05555FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4725000 | PA      | $4948822.78   | 0.27%             | 2057-07-15      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38379JY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14878176 | PA      | $13205842.44  | 0.72%             | 2045-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                           | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4196396.40   | 0.23%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR5                                         | CUSIP: 17309FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1463043 | PA      | $1049295.71   | 0.06%             | 2036-07-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2067336 | PA      | $2064556.49   | 0.11%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-HYB5                                      | CUSIP: 12669G6K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7356 | PA      | $6271.57      | 0.00%             | 2035-09-20      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                    | RIDE 2025-SHRE                                                                 | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2532725.25   | 0.14%             | 2047-02-14      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10051086 | PA      | $8384499.61   | 0.46%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Trust 2006-W4                                                | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16262050 | PA      | $3870024.80   | 0.21%             | 2036-05-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-1 Trust                                         | CUSIP: 21872UAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38948500 | PA      | $2699649.07   | 0.15%             | 2050-03-15      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9395112 | PA      | $8127799.30   | 0.44%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22800000 | PA      | $21803024.40  | 1.19%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                     | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27875000 | PA      | $27854874.25  | 1.51%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                            | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48622000 | PA      | $48772044.57  | 2.65%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2006-10N                                                | CUSIP: 525229AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5206083 | PA      | $4678585.65   | 0.25%             | 2046-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-R3                                                              | CUSIP: 12559NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10119888 | PA      | $9653938.63   | 0.53%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-2                                               | CUSIP: 89175VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13050000 | PA      | $11216769.93  | 0.61%             | 2058-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396P3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235504 | PA      | $13169.86     | 0.00%             | 2037-03-25      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396Y3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411518 | PA      | $57107.28     | 0.00%             | 2038-04-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2021-AFC2 Trust                                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4930630 | PA      | $4293655.87   | 0.23%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                  | MASTR Asset Securitization Trust 2006-3                                        | CUSIP: 55274SAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28197 | PA      | $4635.73      | 0.00%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust Series 2006-FF18                            | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8240005 | PA      | $7413191.37   | 0.40%             | 2037-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140MNMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16891158 | PA      | $14664519.78  | 0.80%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                   | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10303579 | PA      | $4090253.07   | 0.22%             | 2037-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-H7                                         | CUSIP: 61771MBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3585477.20   | 0.19%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-CH2                                  | CUSIP: 46629QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3361636 | PA      | $2024081.41   | 0.11%             | 2036-10-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31398E5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882953 | PA      | $105627.69    | 0.01%             | 2039-06-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates     | Ownit Mortgage Loan Trust Series 2006-6                                        | CUSIP: 69121TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13098069 | PA      | $5636190.98   | 0.31%             | 2037-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BFXV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1906166 | PA      | $191.76       | 0.00%             | 2043-01-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31397H3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146542 | PA      | $8701.98      | 0.00%             | 2037-05-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396P2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474524 | PA      | $24340.60     | 0.00%             | 2037-03-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380XH91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2924588 | PA      | $2546162.18   | 0.14%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-8                                              | CUSIP: 22942MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607619 | PA      | $150856.46    | 0.01%             | 2021-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2020-CX Mortgage Trust                                                    | CUSIP: 12656KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5046792.00   | 0.27%             | 2046-11-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31397MJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1233449 | PA      | $76409.27     | 0.00%             | 2038-08-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-2                                            | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65324 | PA      | $6231.51      | 0.00%             | 2036-03-25      | Floating      | 4.84%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128C6QB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    943332 | PA      | $963425.68    | 0.05%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883564 | PA      | $910658.13    | 0.05%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A7                                               | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6114 | PA      | $4668.89      | 0.00%             | 2037-01-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT JUN25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -1430 | NC      | $-2486681.33  | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2023-R1                                                              | CUSIP: 12569RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6496866 | PA      | $6168107.67   | 0.34%             | 2062-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2007-19                                                 | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11043794 | PA      | $5160159.96   | 0.28%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2007-QS5 Trust                                                     | CUSIP: 74923JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5033665 | PA      | $58343.70     | 0.00%             | 2037-03-25      | Variable      | 0.28%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1225905 | PA      | $1261981.43   | 0.07%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380X3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9878793 | PA      | $8614093.96   | 0.47%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136AGZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2564952 | PA      | $1805493.33   | 0.10%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40877 | PA      | $36708.67     | 0.00%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2004-12                                                 | CUSIP: 07384M6F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168517 | PA      | $155457.63    | 0.01%             | 2035-02-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust    | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                   | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381367 | PA      | $318772.49    | 0.02%             | 2036-08-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2007-BR1                        | CUSIP: 81378KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7058776 | PA      | $2929553.02   | 0.16%             | 2037-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31397R2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1439077 | PA      | $144323.36    | 0.01%             | 2038-02-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7124358 | PA      | $6462429.22   | 0.35%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591748 | PA      | $578001.50    | 0.03%             | 2034-10-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-4 Trust                                         | CUSIP: 21873AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27500000 | PA      | $1283359.00   | 0.07%             | 2052-12-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust        | Bear Stearns Asset Backed Securities I Trust 2005-AC6                          | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601965 | PA      | $574066.03    | 0.03%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21400000 | PA      | $18559674.30  | 1.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                             | CUSIP: 31325YB98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 131338187 | PA      | $17276986.90  | 0.94%             | 2051-02-15      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380XPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1996184 | PA      | $1785845.21   | 0.10%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2018-C5                                    | CUSIP: 17291DAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5599188 | PA      | $5470968.83   | 0.30%             | 2051-06-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31397MZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433966 | PA      | $27380.48     | 0.00%             | 2037-06-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| LOAN PARTICIPATION 2                              | LOAN PARTICIPATION 2                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2570000 | PA      | $2570000.00   | 0.14%             | 2027-12-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 312939JF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7306965 | PA      | $7438070.02   | 0.40%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-C8 Mortgage Trust                                                     | CUSIP: 05593HAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4011000 | PA      | $4196556.08   | 0.23%             | 2057-03-15      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS  | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-AR1 Trust | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10874 | PA      | $10918.64     | 0.00%             | 2030-11-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                      | State Street Institutional U.S. Government Money Market Fund                   | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   1934047 | NS      | $1934047.08   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-3 Trust                                           | CUSIP: 058931AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139437 | PA      | $116644.85    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137F3P99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5747418 | PA      | $5326541.79   | 0.29%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust      | STARM Mortgage Loan Trust 2007-1                                               | CUSIP: 78473NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336110 | PA      | $728940.17    | 0.04%             | 2037-02-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8531870 | PA      | $6774843.99   | 0.37%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-5C3 Mortgage Trust                                                    | CUSIP: 09660QAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4540000 | PA      | $4725831.28   | 0.26%             | 2057-02-15      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31402N2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118648 | PA      | $122278.00    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | Securitized Asset Backed Receivables LLC Trust 2006-CB1                        | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2527323 | PA      | $2147396.10   | 0.12%             | 2036-01-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| EdgeConneX Data Centers Issuer, LLC               | Edgeconnex Data Centers Issuer LLC                                             | CUSIP: 28000XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2381250 | PA      | $2283784.25   | 0.12%             | 2052-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2024-PMDW                                                            | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3980000 | PA      | $3815360.14   | 0.21%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380XFR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6031304 | PA      | $5418815.29   | 0.29%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31416B6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916178 | PA      | $977484.17    | 0.05%             | 2049-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137AWC29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4407467 | PA      | $3957454.16   | 0.22%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 86360NAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202026 | PA      | $1085346.02   | 0.06%             | 2036-06-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2024-SVEN                                | CUSIP: 949937AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4632000 | PA      | $4747361.35   | 0.26%             | 2037-06-10      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT JUN25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       797 | NC      | $799793.35    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-2                                                | CUSIP: 07386HRA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       843 | PA      | $753.17       | 0.00%             | 2035-04-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2007-AR11                                     | CUSIP: 45669FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10054 | PA      | $8876.55      | 0.00%             | 2037-06-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938590 | PA      | $675595.85    | 0.04%             | 2036-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                          | CSMCM 2022-RPL1 Trust                                                          | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    466433 | PA      | $382058.74    | 0.02%             | 2061-04-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS6 Trust                                                     | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20891783 | PA      | $554511.78    | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  3 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2004-9                                                 | CUSIP: 36242DBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543207 | PA      | $503224.23    | 0.03%             | 2034-08-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-5C27                                                 | CUSIP: 05555FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4565000 | PA      | $4755356.85   | 0.26%             | 2057-07-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                            | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15140000 | PA      | $15711298.51  | 0.85%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL11 Trust                                                          | CUSIP: 12659AAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2336437 | PA      | $1202883.75   | 0.07%             | 2061-10-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16601979 | PA      | $12648791.47  | 0.69%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38379PS24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3760000 | PA      | $3218763.57   | 0.18%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380CMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600530 | PA      | $1270505.40   | 0.07%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1813092 | PA      | $1812007.53   | 0.10%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2005-AR6                                              | CUSIP: 23332UFV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1458607 | PA      | $1303939.52   | 0.07%             | 2045-10-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380GHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1159751 | PA      | $924934.75    | 0.05%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                 | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266319 | PA      | $241390.01    | 0.01%             | 2035-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136A9VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11738000 | PA      | $10385333.30  | 0.56%             | 2042-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38377WKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2951909 | PA      | $2231743.79   | 0.12%             | 2041-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396YCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1706205 | PA      | $129142.51    | 0.01%             | 2037-05-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2005-AR23                                     | CUSIP: 45660LF38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1407709 | PA      | $1098084.43   | 0.06%             | 2035-11-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140QNQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39275482 | PA      | $31326835.11  | 1.70%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                      | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $3855950.14   | 0.21%             | 2040-02-12      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                | CUSIP: 95000KBF1<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        | 106409000 | PA      | $689168.53    | 0.04%             | 2049-11-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-84                                                 | CUSIP: 12668BAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74724 | PA      | $62779.42     | 0.00%             | 2036-02-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                  | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16460000 | PA      | $12597465.13  | 0.69%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                     | Life 2021-BMR Mortgage Trust                                                   | CUSIP: 53218CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2554300 | PA      | $2491057.07   | 0.14%             | 2038-03-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS10 Trust                                                    | CUSIP: 751155AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14758170 | PA      | $278650.49    | 0.02%             | 2036-08-25      | Variable      | 0.57%                 | No            |                  3 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-4                                                | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1242812 | PA      | $1163183.20   | 0.06%             | 2035-05-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                  | IndyMac INDA Mortgage Loan Trust 2007-AR7                                      | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1201169 | PA      | $964840.87    | 0.05%             | 2037-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-SA2 Trust                                                    | CUSIP: 74958XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7956 | PA      | $6733.61      | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                         | HSI Asset Loan Obligation Trust 2007-2                                         | CUSIP: 40432BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440418 | PA      | $324790.88    | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13236675 | PA      | $11070609.18  | 0.60%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136B2YN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1400900.18   | 0.08%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                   | Oakwood Mortgage Investors Inc                                                 | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4494713 | PA      | $2043884.59   | 0.11%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2005-AR25                                     | CUSIP: 45660LR35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064668 | PA      | $872598.65    | 0.05%             | 2035-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust    | Morgan Stanley Residential Mortgage Loan Trust 2024-INV3                       | CUSIP: 61776GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7894635 | PA      | $8017113.84   | 0.44%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2004-NC8                                | CUSIP: 61744CHQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292976 | PA      | $301382.45    | 0.02%             | 2034-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                             | TCW Central Cash Fund                                                          | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        | 124249045 | NS      | $124249045.24 | 6.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C26                                                  | CUSIP: 05555AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6003000 | PA      | $6263045.16   | 0.34%             | 2057-05-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396YWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1755520 | PA      | $124064.00    | 0.01%             | 2038-03-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31397T3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1639012 | PA      | $189683.59    | 0.01%             | 2038-04-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22162960 | PA      | $21063718.69  | 1.15%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5528571 | PA      | $5303418.17   | 0.29%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  32150000 | PA      | $32078723.45  | 1.74%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31397MEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3722491 | PA      | $323712.29    | 0.02%             | 2038-08-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-1 Trust                                         | CUSIP: 21872UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10861578 | PA      | $432780.66    | 0.02%             | 2050-03-15      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| HOA Funding LLC                                   | HOA Funding LLC - HOA                                                          | CUSIP: 40390GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6136165 | PA      | $1840945.73   | 0.10%             | 2051-08-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2427215 | PA      | $2023249.32   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2021-4                                                | CUSIP: 46652VAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10544878 | PA      | $8647126.85   | 0.47%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    432206 | PA      | $403152.97    | 0.02%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A2                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213464 | PA      | $206439.37    | 0.01%             | 2033-11-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140XDSD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18615546 | PA      | $15495929.23  | 0.84%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-12                                          | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140776 | PA      | $1064712.75   | 0.06%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38379FQX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4161075 | PA      | $3805187.25   | 0.21%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                             | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7376618 | PA      | $6764601.36   | 0.37%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust  | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                 | CUSIP: 59025CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9755185 | PA      | $9504602.71   | 0.52%             | 2037-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20303000 | PA      | $375199.44    | 0.02%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS7 Trust                                                     | CUSIP: 748940AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3961416 | PA      | $98628.17     | 0.01%             | 2036-06-25      | Variable      | 0.73%                 | No            |                  3 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2007-A3                                 | CUSIP: 76113WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2247987 | PA      | $1017489.90   | 0.06%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                              | CUSIP: 126380AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64637 | PA      | $0.65         | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38385EFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13984935 | PA      | $906175.42    | 0.05%             | 2055-03-20      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2022-II Ltd                                                       | CUSIP: 12567VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $2293500.00   | 0.12%             | 2035-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-S9 Trust                                                     | CUSIP: 749577AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255678 | PA      | $203162.22    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2706101 | PA      | $2505425.07   | 0.14%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2007-WMC1 Trust                                                           | CUSIP: 04545EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8399672 | PA      | $6849729.45   | 0.37%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXXVIII Ltd                                               | CUSIP: 55821KAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $9963640.00   | 0.54%             | 2034-07-17      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust      | STARM Mortgage Loan Trust 2007-3                                               | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1693 | PA      | $792.71       | 0.00%             | 2037-06-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| NCFA1                                             | NCFA1                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1627646 | PA      | $1627646.09   | 0.09%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136AGZD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5680323 | PA      | $4017517.50   | 0.22%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Mortgage Finance Trust Series 2006-A1                                    | CUSIP: 16163CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254008 | PA      | $218057.78    | 0.01%             | 2036-09-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust  | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                 | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17464146 | PA      | $6649311.25   | 0.36%             | 2037-04-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                     | CHI Commercial Mortgage Trust 2025-SFT                                         | CUSIP: 16706GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4580491.23   | 0.25%             | 2042-04-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL11 Trust                                                          | CUSIP: 12659AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10177626 | PA      | $557384.30    | 0.03%             | 2061-10-25      | Variable      | 1.48%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14314914 | PA      | $14320743.65  | 0.78%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S2 Trust                                                     | CUSIP: 749583AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2716029 | PA      | $2072661.12   | 0.11%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust        | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                           | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1212855.52   | 0.07%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                 | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1755655 | PA      | $1492784.44   | 0.08%             | 2046-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396V4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1963449 | PA      | $225959.98    | 0.01%             | 2037-06-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                 | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587278 | PA      | $555822.84    | 0.03%             | 2036-01-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136AP3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1682301 | PA      | $1472388.47   | 0.08%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-AR2                                               | CUSIP: 3622N6AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459925 | PA      | $756423.03    | 0.04%             | 2037-05-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-5                                                  | CUSIP: 45254NPV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1552822 | PA      | $1428415.46   | 0.08%             | 2035-08-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2024-3                                         | CUSIP: 46657QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10800000 | PA      | $8729839.80   | 0.47%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17357029 | PA      | $14804560.56  | 0.81%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                      | State Street Institutional US Government Money Market Fund                     | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  17089606 | NS      | $17089605.69  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396QGH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264492 | PA      | $29990.39     | 0.00%             | 2039-07-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-4                                                | CUSIP: 073871BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281593 | PA      | $118830.90    | 0.01%             | 2036-07-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.             | Conseco Finance Securitizations Corp                                           | CUSIP: 20846QDU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  45277023 | PA      | $6381420.55   | 0.35%             | 2032-05-01      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) JUN25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       835 | NC      | $1676145.65   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-RPL1 Trust                                                           | CUSIP: 12661QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2099786 | PA      | $1278297.64   | 0.07%             | 2061-04-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38381AX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5099518 | PA      | $4463705.96   | 0.24%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2020-R1                                                              | CUSIP: 12558VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15705541 | PA      | $13896112.02  | 0.76%             | 2059-10-27      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2007-1                                                  | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89221 | PA      | $76862.41     | 0.00%             | 2047-02-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                  | MortgageIT Trust 2005-4                                                        | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301193 | PA      | $296793.78    | 0.02%             | 2035-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                        | Impac Secured Assets Trust 2006-3                                              | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2702110 | PA      | $2424274.32   | 0.13%             | 2036-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                               | CUSIP: 46629EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133535 | PA      | $156012.76    | 0.01%             | 2036-09-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38385ENN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25083041 | PA      | $1976097.37   | 0.11%             | 2055-03-20      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 3137BBQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16213407 | PA      | $15557922.50  | 0.85%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256344 | PA      | $248087.24    | 0.01%             | 2034-09-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                     | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24925000 | PA      | $23852215.54  | 1.30%             | 2055-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization   | C-BASS Mortgage Loan Trust 2007-CB2                                            | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6927555 | PA      | $4078929.30   | 0.22%             | 2037-02-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING MASTER ISSUER PLC                  | Newday Funding Master Issuer PLC - Series 2024-2                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   1500000 | PA      | $1995793.27   | 0.11%             | 2032-07-15      | Floating      | 8.37%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24377291 | PA      | $20496764.92  | 1.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-OA1                                               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42649434 | PA      | $9271283.33   | 0.50%             | 2046-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                       | CUSIP: 38380TUY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10608640 | PA      | $8146406.20   | 0.44%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-B33                                                                  | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5140000 | PA      | $4458873.41   | 0.24%             | 2043-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136A4LJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957706 | PA      | $2732709.51   | 0.15%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3133B5AN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5221701 | PA      | $4146360.31   | 0.23%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31398C5B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110609 | PA      | $5228.30      | 0.00%             | 2037-07-15      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C24                                                  | CUSIP: 07336VAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6217306.80   | 0.34%             | 2057-02-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10868222 | PA      | $10397472.16  | 0.57%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3    | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7603398 | PA      | $6560559.27   | 0.36%             | 2035-11-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                            | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14175000 | PA      | $12598738.58  | 0.69%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2005-AR7                                      | CUSIP: 45660LLK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    729002 | PA      | $588924.51    | 0.03%             | 2035-06-25      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Trust                                                                     | CUSIP: 362341AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25477 | PA      | $25132.40     | 0.00%             | 2035-05-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust Series 2007-FF2                             | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19826731 | PA      | $9260909.62   | 0.50%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 3140X5S87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3041267 | PA      | $2849468.86   | 0.15%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-HY5                                       | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3221 | PA      | $2484.06      | 0.00%             | 2047-09-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2004-AR9                                      | CUSIP: 45660N3R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131625 | PA      | $123458.29    | 0.01%             | 2034-11-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                               | Hotwire Funding LLC                                                            | CUSIP: 44148JAB5<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   2775000 | PA      | $2651663.18   | 0.14%             | 2051-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136A3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2017397 | PA      | $2022249.42   | 0.11%             | 2042-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                  | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $3999377.28   | 0.22%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6008305 | PA      | $5537458.17   | 0.30%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31394AES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208493 | PA      | $19485.35     | 0.00%             | 2034-07-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Mortgage Finance Trust Series 2007-A1                                    | CUSIP: 161630AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    831628 | PA      | $796886.48    | 0.04%             | 2037-02-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) JUN25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      2010 | NC      | $3664853.04   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-RPL1 Trust                                                           | CUSIP: 12661QAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8944134 | PA      | $104240.30    | 0.01%             | 2061-04-25      | Variable      | 0.49%                 | No            |                  3 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR3 Trust                                                 | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8950000 | PA      | $8690421.36   | 0.47%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                            | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2470000 | PA      | $2445878.92   | 0.13%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2006-2                                                  | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528914 | PA      | $445753.04    | 0.02%             | 2036-07-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                  | IndyMac INDX Mortgage Loan Trust 2006-AR6                                      | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6179294 | PA      | $5246538.92   | 0.29%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED USD / SOLD GBP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-84219.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-SFR2                                  | CUSIP: 64830RAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5510948.35   | 0.30%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-5C29                                                 | CUSIP: 05555PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3057180.60   | 0.17%             | 2057-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                          | CUSIP: 312940NL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1941233 | PA      | $1969484.73   | 0.11%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-8                                                  | CUSIP: 81743PDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153888 | PA      | $147060.05    | 0.01%             | 2034-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10619868 | PA      | $8432846.42   | 0.46%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TCW Private Asset Income Fund                     | TCW Private Asset Income Fund                                                  | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |    816658 | NS      | $8174746.58   | 0.44%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136BTLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45873518 | PA      | $2875374.61   | 0.16%             | 2054-07-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 3136B6QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6146677 | PA      | $5266045.28   | 0.29%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                              | CUSIP: 31396WBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426093 | PA      | $22708.03     | 0.00%             | 2037-06-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                            | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11820000 | PA      | $11907264.81  | 0.65%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                     | Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust                   | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5521000 | PA      | $5165793.21   | 0.28%             | 2037-03-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                               | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16653828 | PA      | $15973019.61  | 0.87%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2022-RN1 LLC                                                              | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6656748 | PA      | $6664716.98   | 0.36%             | 2051-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6374416 | PA      | $5061689.02   | 0.28%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BJP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26873244 | PA      | $2327.22      | 0.00%             | 2043-04-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                             | CUSIP: 31397P2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    997019 | PA      | $94514.23     | 0.01%             | 2037-10-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23150000 | PA      | $19250799.20  | 1.05%             | 2054-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                              | Roc Mortgage Trust 2021-RTL1                                                   | CUSIP: 77118TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469225 | PA      | $1467835.30   | 0.08%             | 2026-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                     | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40450000 | PA      | $39673906.08  | 2.16%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2018-C1 Mortgage Trust                                                    | CUSIP: 23307DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5136000 | PA      | $4998105.59   | 0.27%             | 2051-10-15      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                             | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169243 | PA      | $147877.08    | 0.01%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** TCW FUNDS INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer