# EDGAR Filing Document

**Accession Number:** 0001676326
**File Stem:** 0002071691-25-007390
**Filing Date:** 2025-11
**Character Count:** 338936
**Document Hash:** 638388298e910971666c2347d249ddd9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-007390.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0002071691-25-007390

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morgan Stanley ETF Trust
- **CENTRAL INDEX KEY:** 0001676326

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23820
- **FILM NUMBER:** 251524908

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 212.296.1404

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

## Series and Classes Contracts Data

### Eaton Vance Mortgage Opportunities ETF (Series ID: S000092949)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000260999 | Eaton Vance Mortgage Opportunities ETF | EVMO            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Morgan Stanley ETF Trust

- **b. Investment Company Act file number:** 811-23820

- **c. CIK number of Registrant:** 0001676326

- **d. LEI of Registrant:** 549300HASXQLXGOR9H31

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

  - **Street Address 1:** 1585 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

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

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

- **a. Name of Series:** Eaton Vance Mortgage Opportunities ETF

- **b. EDGAR series identifier (if any):** S000092949

- **c. LEI of Series:** 2549007IASCBIDPVHZ74

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $798100168.34

**Total Liabilities:** $103799651.35

**Net Assets:** $694300516.99

**Cash Not Reported:** $2464637.66

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 639.4499174 | **1-Year:** 15795.9658371 | **5-Year:** 18683.59629129 | **10-Year:** 51841.86636633 | **30-Year:** 164439.66865372

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

- **3-Month:** 23.82373895 | **1-Year:** 7126.42507687 | **5-Year:** 13519.09272962 | **10-Year:** 8048.28201479 | **30-Year:** 4965.09067805

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260999 | -0.04%               | 1.56%                | 0.74%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1538402.96              | $-4949398.32                               |
| Month 2  | $3069638.93              | $3698168.78                                |
| Month 3  | $1940903.54              | $99989.89                                  |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** BBG_US_MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                                                   | FNMA, 30 Year                                                                                              | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131939 | PA      | $122436.85    | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates Trust                                   | CSFB Mortgage-Backed Pass-Through Certificates Trust, Series 2004-AR4, Class 3A1                           | CUSIP: 22541SFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175899 | PA      | $168408.25    | 0.02%             | 2034-05-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                            | Ocwen Loan Investment Trust, Series 2023-HB1, Class M1                                                     | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $493168.75    | 0.07%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140N7ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1681398 | PA      | $1524835.71   | 0.22%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H20, Class HI                                                                            | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658089 | PA      | $31958.26     | 0.00%             | 2067-10-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2023-HB12, Class M4                                                                       | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2402691.00   | 0.35%             | 2033-04-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0626A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4109269.80   | 0.59%             | 2055-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2020-167, Class YI                                                                            | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6276793 | PA      | $816325.46    | 0.12%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2025-89, Class UZ                                                                      | CUSIP: 3136BXXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2442702 | PA      | $2435786.22   | 0.35%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                            | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3524925 | PA      | $3530274.78   | 0.51%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust Resecuritization                                       | CHL Mortgage Pass-Through Trust Resecuritization, Series 2008-2R, Class A1                                 | CUSIP: 12544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59081 | PA      | $32573.69     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    607350 | PA      | $631210.13    | 0.09%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34043 | PA      | $33022.21     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1823042 | PA      | $1503733.20   | 0.22%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2254778 | PA      | $1851394.67   | 0.27%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JUSZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16049 | PA      | $15793.23     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EMF-NL Prime BV                                                                        | EMF-NL Prime BV, Series 2008-APRX, Class A3                                                                | CUSIP: N/A<br>LEI: 724500YACYYG8XY5LM10       | Long             | ABS-MBS          | CORP              | NL        |    200000 | PA      | $225350.21    | 0.03%             | 2041-04-17      | Floating      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                       | IndyMac INDX Mortgage Loan Trust, Series 2004-AR9, Class 3A                                                | CUSIP: 45660N3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13457 | PA      | $13743.93     | 0.00%             | 2034-11-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                         | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    867945 | PA      | $785937.46    | 0.11%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4286, Class SC                                                                        | CUSIP: 3137B6US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56035 | PA      | $41619.54     | 0.01%             | 2043-12-15      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2022-3, Class A                                                     | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2149786 | PA      | $2099758.92   | 0.30%             | 2062-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                                                              | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                                                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5204580 | PA      | $5293585.05   | 0.76%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M                                          | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3833303 | PA      | $3734156.17   | 0.54%             | 2058-08-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71995 | PA      | $69686.94     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618JAS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43209 | PA      | $44049.02     | 0.01%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7679 | PA      | $7649.92      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2011-H06, Class FA                                                                            | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12863 | PA      | $12876.91     | 0.00%             | 2061-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31386BAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6941 | PA      | $7270.87      | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H16, Class CI                                                                            | CUSIP: 38375UF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    803214 | PA      | $23474.50     | 0.00%             | 2067-07-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H10, Class MI                                                                            | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396671 | PA      | $11805.71     | 0.00%             | 2067-04-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9794708 | PA      | $9884640.06   | 1.42%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4363                                                                                  | CUSIP: 3137BCNR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339146 | PA      | $21145.78     | 0.00%             | 2041-09-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H16, Class EI                                                                            | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207251 | PA      | $8231.79      | 0.00%             | 2066-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H04, Class NI                                                                            | CUSIP: 38380VPP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    873870 | PA      | $33509.34     | 0.00%             | 2068-02-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HT                                         | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1423547 | PA      | $1240224.45   | 0.18%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                             | PRPM Trust, Series 2022-INV1, Class A1                                                                     | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732750 | PA      | $742733.92    | 0.11%             | 2067-04-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2014-23, Class SA                                                                      | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170195 | PA      | $9790.43      | 0.00%             | 2039-10-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       102 | PA      | $105.62       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H22                                                                                      | CUSIP: 38376RC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349055 | PA      | $11449.73     | 0.00%             | 2066-10-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-98, Class HS                                                                             | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185465 | PA      | $19475.18     | 0.00%             | 2042-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                        | CoreVest American Finance Trust, Series 2020-3, Class XA                                                   | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175742 | PA      | $3336.03      | 0.00%             | 2053-08-15      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                           | GS Mortgage Securities Trust, Series 2014-GC24, Class XA                                                   | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113171 | PA      | $1.41         | 0.00%             | 2047-09-10      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                        | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66520 | PA      | $61703.59     | 0.01%             | 2034-05-20      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                                      | Real Estate Asset Liquidity Trust, Series 2020-1A, Class X                                                 | CUSIP: 75585RRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   7254076 | PA      | $177221.08    | 0.03%             | 2055-02-12      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H25, Class AI                                                                            | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215927 | PA      | $3026.93      | 0.00%             | 2065-09-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| TDA 27 FTA                                                                             | TDA 27 FTA, Series 27, Class A3                                                                            | CUSIP: N/A<br>LEI: 95980020140005710276       | Long             | ABS-MBS          | CORP              | ES        |    356689 | PA      | $387191.59    | 0.06%             | 2050-12-28      | Floating      | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                           | Champs Trust, Series 2024-3, Class A                                                                       | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2322596 | PA      | $2425562.96   | 0.35%             | 2060-01-25      | Variable      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                         | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2182051 | PA      | $1836576.75   | 0.26%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                             | ATLX Trust, Series 2024-RPL1, Class M1                                                                     | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1438505.25   | 0.21%             | 2064-04-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4350, Class DS                                                                        | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99457 | PA      | $11017.42     | 0.00%             | 2044-06-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| ECAF I Ltd.                                                                            | ECAF I Ltd., Series 2015-1A, Class A2                                                                      | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    296341 | PA      | $267455.08    | 0.04%             | 2040-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                                | Amortizing Residential Collateral Trust, Series 2002-BC7, Class A1                                         | CUSIP: 86358R7H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272782 | PA      | $255066.57    | 0.04%             | 2032-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105986 | PA      | $103133.60    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87891 | PA      | $79444.08     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254246 | PA      | $259980.76    | 0.04%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3700000 | PA      | $-3680932.98  | -0.53%            | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H11, Class HI                                                                            | CUSIP: 38375UJZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780877 | PA      | $49874.57     | 0.01%             | 2064-06-20      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                        | Impac CMB Trust, Series 2004-5, Class 1M1                                                                  | CUSIP: 45254NJK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18922 | PA      | $19087.77     | 0.00%             | 2034-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Su Casita                                                                              | Su Casita, Series 2007-CB1A, Class A                                                                       | CUSIP: 864248AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | MX        |   7453613 | PA      | $6111962.37   | 0.88%             | 2035-08-26      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2012-56, Class SQ                                                                      | CUSIP: 3136A6WV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343173 | PA      | $36440.28     | 0.01%             | 2042-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| VCC Trust                                                                              | VCC Trust, Series 2025-MC1, Class A1                                                                       | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4181704 | PA      | $4164122.89   | 0.60%             | 2055-05-25      | Variable      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                                              | OBX Trust, Series 2025-J2, Class A1                                                                        | CUSIP: 67122EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2009843.80   | 0.29%             | 2055-09-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406323 | PA      | $338329.45    | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                   | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352349 | PA      | $339106.98    | 0.05%             | 2036-10-25      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-71, Class IG                                                                             | CUSIP: 38378TAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348215 | PA      | $58560.29     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                       | MASTR Asset Securitization Trust, Series 2002-NC1, Class M3                                                | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1487290 | PA      | $1438858.97   | 0.21%             | 2032-10-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2019-H18, Class IH                                                                            | CUSIP: 38380LM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262975 | PA      | $69763.30     | 0.01%             | 2069-11-20      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31383RFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $118.23       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H20, Class IB                                                                            | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665870 | PA      | $20367.22     | 0.00%             | 2067-10-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                                   | EFMT, Series 2024-RM3, Class A1A                                                                           | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2708552 | PA      | $2640294.72   | 0.38%             | 2054-12-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2007-3, Class A1                                                    | CUSIP: 07325YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035038 | PA      | $988750.90    | 0.14%             | 2037-07-25      | Floating      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2019-H15, Class CI                                                                            | CUSIP: 38380LZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1618115 | PA      | $78717.00     | 0.01%             | 2069-07-20      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37134 | PA      | $36020.36     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18191 | PA      | $18071.83     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483903 | PA      | $436036.63    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H26                                                                                      | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193022 | PA      | $2289.51      | 0.00%             | 2058-08-20      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618AVMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455154 | PA      | $466986.26    | 0.07%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                             | ATLX Trust, Series 2024-RPL2, Class A2                                                                     | CUSIP: 049919AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1608474.55   | 0.23%             | 2063-04-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                         | Eurosail-NL BV, Series 2007-NL2X, Class B                                                                  | CUSIP: N/A<br>LEI: 724500VX65TCSYFLOA51       | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $589110.99    | 0.08%             | 2040-10-17      | Floating      | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                                   | Nordea Kredit Realkreditaktieselskab                                                                       | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  25000000 | PA      | $3885456.23   | 0.56%             | 2056-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                                 | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A2                                            | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6338 | PA      | $6250.27      | 0.00%             | 2029-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 3617VAGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    836785 | PA      | $761225.94    | 0.11%             | 2071-03-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust, Series 2022-GT2, Class B                                                            | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2553099.50   | 0.37%             | 2027-07-25      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                                               | PRET LLC, Series 2025-NPL3, Class A1                                                                       | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3124026 | PA      | $3155025.86   | 0.45%             | 2055-04-25      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                          | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $21965820.00  | 3.16%             | 2055-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 31427MAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1765805 | PA      | $1786984.05   | 0.26%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banna RMBS DAC                                                                         | Banna RMBS DAC, Series 2019-1, Class C                                                                     | CUSIP: N/A<br>LEI: 549300ITMSQX8FY8ZS10       | Long             | ABS-MBS          | CORP              | IE        |    200000 | PA      | $270397.79    | 0.04%             | 2063-12-30      | Floating      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31385HQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3804 | PA      | $3953.01      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618K4DG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1938771 | PA      | $1967924.94   | 0.28%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532966 | PA      | $548983.76    | 0.08%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class HT                                         | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    302985 | PA      | $259286.15    | 0.04%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48474 | PA      | $46714.24     | 0.01%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418D3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249304 | PA      | $206105.82    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| E-MAC Program BV                                                                       | E-MAC Program BV, Series 2008-1, Class B                                                                   | CUSIP: N/A<br>LEI: 724500SKQP7E7072AD15       | Long             | ABS-MBS          | CORP              | NL        |    133994 | PA      | $149164.70    | 0.02%             | 2048-01-25      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2016-1, Class MT                                         | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3390218 | PA      | $2969478.66   | 0.43%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                                    | RCKT Mortgage Trust, Series 2024-INV1, Class A1                                                            | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80693 | PA      | $82584.59     | 0.01%             | 2054-06-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2019-H18, Class IE                                                                            | CUSIP: 38380LL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9686703 | PA      | $370388.04    | 0.05%             | 2069-10-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138A5GF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16570 | PA      | $16897.48     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H21, Class BI                                                                            | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403297 | PA      | $8419.62      | 0.00%             | 2064-10-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                             | ABFC Trust, Series 2004-OPT4, Class M1                                                                     | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175428 | PA      | $176645.27    | 0.03%             | 2034-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                                        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2219418.08   | 0.32%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36184YE78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94099 | PA      | $88113.62     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                             | J.P. Morgan Mortgage Trust, Series 2020-INV2, Class A3                                                     | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79455 | PA      | $68856.38     | 0.01%             | 2050-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-Nl BV                                                                         | Eurosail-Nl BV, Series 2007-NL1X, Class C                                                                  | CUSIP: N/A<br>LEI: 7245005ZXA2CS61TW539       | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $583359.32    | 0.08%             | 2040-04-17      | Floating      | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31371HTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       364 | PA      | $376.26       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H02, Class BI                                                                            | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184037 | PA      | $7027.63      | 0.00%             | 2067-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                               | PRPM LLC, Series 2024-RCF3, Class M2                                                                       | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1840175.80   | 0.27%             | 2054-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-182, Class NS                                                                            | CUSIP: 38378PFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233050 | PA      | $28896.21     | 0.00%             | 2043-12-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                          | Citigroup Mortgage Loan Trust, Series 2005-11, Class A3                                                    | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81338 | PA      | $81005.72     | 0.01%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                               | Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2B                                        | CUSIP: 76134KAG9<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1451959.91   | 0.21%             | 2048-09-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2022-HB9, Class M3                                                                        | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1566975.47   | 0.23%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 3995, Class JB                                                                        | CUSIP: 3137ALMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76419 | PA      | $70767.63     | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan Trust                                                                | Reperforming Loan Trust, Series 2005-R2, Class 2A4                                                         | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36944 | PA      | $36630.06     | 0.01%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623344 | PA      | $643401.24    | 0.09%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2022-HB1, Class M4                                                       | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1305398.55   | 0.19%             | 2032-04-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1983777.40   | 0.29%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, 30 Year                                                                                           | CUSIP: 3622AD3R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1998213 | PA      | $2043912.85   | 0.29%             | 2055-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H07, Class MI                                                                            | CUSIP: 38375BR79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       553 | PA      | $10.59        | 0.00%             | 2062-04-20      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-71, Class MI                                                                             | CUSIP: 38378TCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26684 | PA      | $588.29       | 0.00%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                         | Cascade Funding Mortgage Trust, Series 2022-AB2, Class M2                                                  | CUSIP: 12530JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1074710 | PA      | $1010425.65   | 0.15%             | 2052-02-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| ABFC Trust                                                                             | ABFC Trust, Series 2004-OPT2, Class A1A                                                                    | CUSIP: 04542BFU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211936 | PA      | $212025.97    | 0.03%             | 2033-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                    | U.S. Treasury Long Bonds                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $31964.13     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Resloc UK plc                                                                          | Resloc UK plc, Series 2007-1X, Class C1A                                                                   | CUSIP: N/A<br>LEI: 213800RE18XIC3OI1847       | Long             | ABS-MBS          | CORP              | GB        |    243426 | PA      | $270155.42    | 0.04%             | 2043-12-15      | Floating      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class HT                                         | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1130645 | PA      | $984772.28    | 0.14%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2011-136, Class IG                                                                            | CUSIP: 38377YTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13564 | PA      | $474.71       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H21, Class AS                                                                            | CUSIP: 38375BVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16793 | PA      | $920.04       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39978 | PA      | $35356.58     | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                                 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class XA                          | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1399507 | PA      | $5404.76      | 0.00%             | 2049-12-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| E-Mac DE BV                                                                            | E-MAC De BV, Series DE07-1, Class C                                                                        | CUSIP: N/A<br>LEI: 724500O14PEZ6A6JKY59       | Long             | ABS-MBS          | CORP              | NL        |   1500000 | PA      | $1011150.27   | 0.15%             | 2054-11-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31323AEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30973 | PA      | $30057.99     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5784222 | PA      | $5837331.76   | 0.84%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                                 | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 3A                                            | CUSIP: 59023HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6636 | PA      | $6463.27      | 0.00%             | 2037-01-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H09, Class HI                                                                            | CUSIP: 38375UZJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3433070 | PA      | $193765.74    | 0.03%             | 2067-03-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H28, Class SC                                                                            | CUSIP: 38375BZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97783 | PA      | $3.82         | 0.00%             | 2062-01-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                                           | Natixis Commercial Mortgage Securities Trust, Series 2019-10K, Class E                                     | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $923923.10    | 0.13%             | 2039-05-15      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage-Backed Pass-Through Certificates Trust Seri | Structured Asset Securities Corp. Mortgage-Backed Pass-Through Certificates Trust, Series 2000-5, Class B1 | CUSIP: 863572Z97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41367 | PA      | $40660.35     | 0.01%             | 2030-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13123 | PA      | $12392.84     | 0.00%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H11, Class AI                                                                            | CUSIP: 38380LFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2795885 | PA      | $96207.17     | 0.01%             | 2068-02-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class HT                                         | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    539658 | PA      | $467123.16    | 0.07%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H23, Class TI                                                                            | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239496 | PA      | $8826.86      | 0.00%             | 2065-09-20      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                                   | EFMT, Series 2024-RM2, Class A1A                                                                           | CUSIP: 268431AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2854439 | PA      | $2800223.44   | 0.40%             | 2054-07-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31400HWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65198 | PA      | $68425.82     | 0.01%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H15, Class AI                                                                            | CUSIP: 38376RCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8954228 | PA      | $324947.75    | 0.05%             | 2065-06-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Whole Loan Securities Trust, Series 2017-SC02, Class 2A2                                             | CUSIP: 3137G1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    705102 | PA      | $627657.92    | 0.09%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H20, Class MI                                                                            | CUSIP: 38375BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15101 | PA      | $968.87       | 0.00%             | 2061-04-20      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553381 | PA      | $534093.89    | 0.08%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2020-HB1, Class M4                                                       | CUSIP: 76971EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662000 | PA      | $1574070.73   | 0.23%             | 2050-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                                 | Merrill Lynch Mortgage Investors Trust, Series 2004-FM1, Class B1                                          | CUSIP: 59020UFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58399 | PA      | $56677.60     | 0.01%             | 2035-01-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                                    | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M3                                            | CUSIP: 10638RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1624175 | PA      | $1462068.57   | 0.21%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                                      | Structured Asset Securities Corp.                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2442702 | PA      | $2435786.22   | 0.35%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128L4EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7581 | PA      | $8016.31      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                               | PRET LLC, Series 2021-RN3, Class A1                                                                        | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1225433 | PA      | $1226801.08   | 0.18%             | 2051-09-25      | Variable      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140KBZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182917 | PA      | $157195.23    | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| E-MAC NL BV                                                                            | E-MAC NL BV, Series NL04-I, Class A                                                                        | CUSIP: N/A<br>LEI: 724500SQXZRLADX2J753       | Long             | ABS-MBS          | CORP              | NL        |     98238 | PA      | $113376.79    | 0.02%             | 2036-07-25      | Floating      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31388LC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       787 | PA      | $818.45       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                        | CHL Mortgage Pass-Through Trust, Series 2003-48, Class 1A1                                                 | CUSIP: 12669EU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117121 | PA      | $115393.98    | 0.02%             | 2033-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| E-MAC NL BV                                                                            | E-MAC NL BV, Series NL05-I, Class B                                                                        | CUSIP: N/A<br>LEI: 724500ZVKRLV3I0BMR76       | Long             | ABS-MBS          | CORP              | NL        |     54739 | PA      | $59186.89     | 0.01%             | 2038-04-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                                  | MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 5A1                                            | CUSIP: 576433MY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138967 | PA      | $130811.80    | 0.02%             | 2034-06-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12992 | PA      | $12592.09     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Corevest American Finance Trust                                                        | Corevest American Finance Trust, Series 2020-4, Class XA                                                   | CUSIP: 21873AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478204 | PA      | $578.39       | 0.00%             | 2052-12-15      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                            | PRKCM Trust, Series 2023-AFC4, Class A1                                                                    | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308248 | PA      | $1333257.37   | 0.19%             | 2058-11-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                               | PRPM LLC, Series 2025-2, Class A1                                                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2933340 | PA      | $2950220.68   | 0.42%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29940 | PA      | $28321.51     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| E-MAC DE BV                                                                            | E-MAC De BV, Series DE05-I, Class C                                                                        | CUSIP: N/A<br>LEI: 72450085LQ6DKJ7BBA61       | Long             | ABS-MBS          | CORP              | NL        |     49614 | PA      | $57914.89     | 0.01%             | 2052-05-25      | Floating      | 10.16%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418CVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31271 | PA      | $28955.32     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd.                                                                  | Falcon Aerospace Ltd., Series 2019-1, Class A                                                              | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    144595 | PA      | $142465.56    | 0.02%             | 2039-09-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11075 | PA      | $10908.61     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                                | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A10                                                        | CUSIP: 362341NC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214624 | PA      | $217789.57    | 0.03%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1438707 | PA      | $1384042.12   | 0.20%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class HT                                         | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    461399 | PA      | $404066.26    | 0.06%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                             | STAR Trust, Series 2022-SFR3, Class D                                                                      | CUSIP: 78474PAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2105716.62   | 0.30%             | 2039-05-17      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| LSF11 Boson Investments Sarl Compartment 2                                             | LSF11 Boson Investments Sarl Compartment 2, Series 2021-NPLA, Class A1                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |   1357080 | PA      | $1599070.33   | 0.23%             | 2060-11-25      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H21, Class SB                                                                            | CUSIP: 38375BVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10617 | PA      | $582.44       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60925 | PA      | $58971.57     | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Strips, Series 306                                                                                   | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13432 | PA      | $1765.87      | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                         | Cascade Funding Mortgage Trust, Series 2022-HB10, Class M2                                                 | CUSIP: 12529GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1196107.92   | 0.17%             | 2035-11-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Eurohome Italy Mortgages Srl                                                           | Eurohome Italy Mortgages Srl, Series 2007-1, Class A                                                       | CUSIP: N/A<br>LEI: 8156005F4093CD5E0195       | Long             | ABS-MBS          | CORP              | IT        |   2497788 | PA      | $2779011.72   | 0.40%             | 2054-11-02      | Floating      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79116 | PA      | $73018.44     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140LWVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177379 | PA      | $161472.44    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140K8P62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110492 | PA      | $94954.83     | 0.01%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Financial Asset Securities Corp. AAA Trust                                             | Financial Asset Securities Corp. AAA Trust, Series 2005-1A, Class 1A3B                                     | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132395 | PA      | $130242.67    | 0.02%             | 2035-02-27      | Floating      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 5020, Class UI                                                                        | CUSIP: 3137FX3Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8031887 | PA      | $1040149.45   | 0.15%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2025-AB3, Class M4                                                                        | CUSIP: 15723JAF9<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   7343896 | PA      | $5591571.56   | 0.81%             | 2055-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H01, Class DI                                                                            | CUSIP: 38376RP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3063442 | PA      | $178616.43    | 0.03%             | 2066-12-20      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                                                | PNMAC GMSR Issuer Trust, Series 2025-GT1, Class A                                                          | CUSIP: 69354WAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3319504.98   | 0.48%             | 2030-08-26      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                                    | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1                                             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1567966 | PA      | $1542204.17   | 0.22%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M                                          | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3743925 | PA      | $3671234.43   | 0.53%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| ECAF I Ltd.                                                                            | ECAF I Ltd., Series 2015-1A, Class A1                                                                      | CUSIP: 26827EAA3<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     17286 | PA      | $14996.01     | 0.00%             | 2040-06-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| EquiFirst Mortgage Loan Trust                                                          | EquiFirst Mortgage Loan Trust, Series 2004-2, Class M7                                                     | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132472 | PA      | $125700.75    | 0.02%             | 2034-10-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance I LLC                                                          | Raptor Aircraft Finance I LLC, Series 2019-1, Class A                                                      | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | US        |   1426863 | PA      | $1293337.41   | 0.19%             | 2044-08-23      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Finance of America HECM Buyout                                                         | Finance of America HECM Buyout, Series 2024-HB1, Class M2                                                  | CUSIP: 31737DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1258184.88   | 0.18%             | 2034-10-01      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4365, Class AI                                                                        | CUSIP: 3137BCNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174483 | PA      | $8261.36      | 0.00%             | 2042-08-15      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2011-19, Class IM                                                                             | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18628 | PA      | $3659.06      | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2024-HB15, Class M4                                                                       | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1670857.30   | 0.24%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                                 | Realkredit Danmark A/S, Series 27S                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  14978836 | PA      | $2345818.52   | 0.34%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617J6RP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4482 | PA      | $4525.53      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617UNGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1001552 | PA      | $857796.57    | 0.12%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8147 | PA      | $8435.71      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                                    | Rate Mortgage Trust, Series 2024-J4, Class A1                                                              | CUSIP: 75408TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2675881 | PA      | $2720408.88   | 0.39%             | 2054-12-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                                    | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class A                                             | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577455 | PA      | $572653.57    | 0.08%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                                        | Danske Bank A/S                                                                                            | CUSIP: 23636RA95<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | STIV             | CORP              | DK        |   2000000 | PA      | $1977392.80   | 0.28%             | 2026-01-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5038 | PA      | $5240.17      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                         | ACM Auto Trust, Series 2024-1A, Class B                                                                    | CUSIP: 00161CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2951470 | PA      | $2980124.39   | 0.43%             | 2031-01-21      | Fixed         | 11.40%                | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H13, Class CI                                                                            | CUSIP: 38376RUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5500127 | PA      | $194751.07    | 0.03%             | 2066-06-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618K4DF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2725881 | PA      | $2719132.49   | 0.39%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                                                    | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                                                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3641746 | PA      | $3709960.20   | 0.53%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2022-2, Class M2                                                    | CUSIP: 74970CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2046055.05   | 0.29%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618LMMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2031365.90   | 0.29%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BDKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97096 | PA      | $99286.04     | 0.01%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust                                                   | Sutherland Commercial Mortgage Trust, Series 2021-SB10, Class B                                            | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506289 | PA      | $445699.12    | 0.06%             | 2041-12-25      | Variable      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                             | J.P. Morgan Mortgage Trust, Series 2008-R2, Class 1A1                                                      | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57650 | PA      | $54135.04     | 0.01%             | 2037-07-27      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                           | RBSSP Resecuritization Trust, Series 2009-8, Class 7A1                                                     | CUSIP: 74927BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34174 | PA      | $249757.58    | 0.04%             | 2037-09-26      | Variable      | 93.49%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M                                          | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1152977.76   | 0.17%             | 2060-05-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3U51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52869 | PA      | $48656.67     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, 30 Year                                                                                              | CUSIP: 3138WFK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100743 | PA      | $93644.81     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       642 | PA      | $670.16       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H28, Class SA                                                                            | CUSIP: 38375BYF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41007 | PA      | $463.90       | 0.00%             | 2062-09-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H13, Class JI                                                                            | CUSIP: 38375BDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66007 | PA      | $5785.52      | 0.00%             | 2060-04-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H05, Class BI                                                                            | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177999 | PA      | $7652.00      | 0.00%             | 2068-02-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GEB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14294 | PA      | $14594.06     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H08, Class XI                                                                            | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232722 | PA      | $9770.87      | 0.00%             | 2067-03-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-47, Class BX                                                                             | CUSIP: 38376YU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86221 | PA      | $4340.08      | 0.00%             | 2034-08-16      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                               | BX Trust, Series 2023-DELC, Class E                                                                        | CUSIP: 05610DAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1824754.32   | 0.26%             | 2038-05-15      | Floating      | 9.44%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                            | PRKCM Trust, Series 2023-AFC1, Class A1                                                                    | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2038377 | PA      | $2045135.42   | 0.29%             | 2058-02-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                               | U.S. Treasury Bills                                                                                        | CUSIP: 912797NU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9908095.00   | 1.43%             | 2025-12-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quest Trust                                                                            | Quest Trust, Series 2002-X1, Class M2                                                                      | CUSIP: 748351AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305403 | PA      | $345748.78    | 0.05%             | 2033-05-25      | Floating      | 8.02%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67527 | PA      | $63403.97     | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H22, Class KI                                                                            | CUSIP: 38375UV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946522 | PA      | $56711.89     | 0.01%             | 2067-11-20      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HA                                         | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1260293 | PA      | $1193070.03   | 0.17%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage Securities                                                               | CSFB Mortgage Securities                                                                                   | CUSIP: 22540A3K2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1020000 | PA      | $884683.64    | 0.13%             | 2028-12-03      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                                   | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR2, Class 2B                            | CUSIP: 22540VTZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183513 | PA      | $174741.12    | 0.03%             | 2032-02-25      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14542 | PA      | $14105.84     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                                       | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1073394.96   | 0.15%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                                   | National City Mortgage Capital Trust, Series 2008-1, Class 2A1                                             | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53750 | PA      | $51716.63     | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3140XLYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4175992 | PA      | $4283741.67   | 0.62%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27744 | PA      | $26912.27     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                     | New Century Home Equity Loan Trust, Series 2003-5, Class AII                                               | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179348 | PA      | $113633.85    | 0.02%             | 2033-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Whole Loan Securities Trust, Series 2017-SC02, Class 1A                                              | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    928734 | PA      | $801573.01    | 0.12%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M                                          | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3213654 | PA      | $3147444.70   | 0.45%             | 2058-07-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13771967 | PA      | $13898417.56  | 2.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179U6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174842 | PA      | $158585.56    | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 312944BB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20583 | PA      | $21017.42     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82475 | PA      | $84335.64     | 0.01%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                                                      | Multifamily Trust, Series 2016-1, Class A                                                                  | CUSIP: 62547LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1782682 | PA      | $1765315.65   | 0.25%             | 2046-04-25      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4720 | PA      | $4924.50      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                               | U.S. Treasury Bills                                                                                        | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24862326.50  | 3.58%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                         | Eurosail-NL BV, Series 2007-NL2X, Class M                                                                  | CUSIP: N/A<br>LEI: 724500VX65TCSYFLOA51       | Long             | ABS-MBS          | CORP              | NL        |    262977 | PA      | $308750.42    | 0.04%             | 2040-10-17      | Floating      | 3.84%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                                    | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $11150.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL4Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3405899 | PA      | $2963083.44   | 0.43%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H17, Class JI                                                                            | CUSIP: 38375BEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33841 | PA      | $2966.15      | 0.00%             | 2060-04-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4783 | PA      | $5032.36      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2013-12, Class SP                                                                      | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45818 | PA      | $758.71       | 0.00%             | 2041-11-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, Strips, Series 208                                                                                  | CUSIP: 31282YCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25359 | PA      | $2964.76      | 0.00%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                            | Ocwen Loan Investment Trust, Series 2024-HB1, Class M4                                                     | CUSIP: 675952AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1835052.40   | 0.26%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Corp.                                                                 | Cendant Mortgage Corp., Series 2003-A, Class A2                                                            | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63330 | PA      | $63974.20     | 0.01%             | 2043-07-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                                    | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13526.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H07, Class BI                                                                            | CUSIP: 38380LCG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115798 | PA      | $4230.01      | 0.00%             | 2068-03-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                                | GSR Mortgage Loan Trust, Series 2003-1, Class A2                                                           | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2946 | PA      | $2934.52      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| NALP Business Loan Trust                                                               | NALP Business Loan Trust, Series 2024-1, Class A                                                           | CUSIP: 629863AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1571498 | PA      | $1597721.36   | 0.23%             | 2049-12-27      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| RCO Trust                                                                              | RCO Trust, Series 2025-PR1, Class A                                                                        | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4957905 | PA      | $4945754.00   | 0.71%             | 2055-03-02      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                            | Onity Loan Investment Trust, Series 2024-HB2, Class M4                                                     | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2846233.50   | 0.41%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H16, Class XI                                                                            | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101056 | PA      | $5641.64      | 0.00%             | 2065-07-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                                             | GITSIT Mortgage Loan Trust, Series 2025-NPL1, Class A1                                                     | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1465505 | PA      | $1470584.87   | 0.21%             | 2055-02-25      | Variable      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31379NGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $35.47        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617UNGV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722341 | PA      | $612340.51    | 0.09%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H11, Class XI                                                                            | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2865800 | PA      | $103901.31    | 0.01%             | 2067-05-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H13, Class JS                                                                            | CUSIP: 38376RCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70149 | PA      | $1339.48      | 0.00%             | 2063-05-20      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H17, Class DI                                                                            | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9548401 | PA      | $301815.41    | 0.04%             | 2066-07-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                                | GSR Mortgage Loan Trust, Series 2005-8F, Class 2A5                                                         | CUSIP: 362341VT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2275 | PA      | $2173.59      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| E-MAC Program II BV                                                                    | E-MAC Program II BV, Series 2008-NL4, Class B                                                              | CUSIP: N/A<br>LEI: 724500E754K57OOQQ940       | Long             | ABS-MBS          | CORP              | NL        |     85578 | PA      | $95497.53     | 0.01%             | 2048-04-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| European Residential Loan Securitisation DAC                                           | European Residential Loan Securitisation DAC, Series 2019-NPL1, Class A                                    | CUSIP: N/A<br>LEI: 635400NCOLE2BYYWTZ86       | Long             | ABS-O            | CORP              | IE        |    901472 | PA      | $1066550.88   | 0.15%             | 2054-07-24      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H19, Class AI                                                                            | CUSIP: 38375UPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    944953 | PA      | $74808.67     | 0.01%             | 2064-09-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1332957 | PA      | $1242658.66   | 0.18%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H01, Class TI                                                                            | CUSIP: 38375BF23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43892 | PA      | $143.65       | 0.00%             | 2063-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class XA                                            | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44354 | PA      | $0.33         | 0.00%             | 2058-09-10      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                                                | PNMAC GMSR Issuer Trust, Series 2024-GT1, Class A                                                          | CUSIP: 69354WAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4040710.40   | 0.58%             | 2029-03-25      | Floating      | 7.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9047 | PA      | $9560.43      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365990 | PA      | $328184.70    | 0.05%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H22, Class GI                                                                            | CUSIP: 38375UU99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8913175 | PA      | $708249.77    | 0.10%             | 2067-10-20      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                          | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $6741875.20   | 0.97%             | 2055-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Net Interest Margin Trust                                         | ACE Securities Corp. Net Interest Margin Trust, Series 2000-1, Class CTFS                                  | CUSIP: 004426AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1236000 | PA      | $867573.12    | 0.12%             | 2029-11-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0626A0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -4000000 | PA      | $-4109269.80  | -0.59%            | 2055-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36176D5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42259 | PA      | $42925.75     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                          | UBS Commercial Mortgage Trust, Series 2018-C9, Class XA                                                    | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8171736 | PA      | $148289.22    | 0.02%             | 2051-03-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H22, Class FB                                                                            | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5350 | PA      | $5372.81      | 0.00%             | 2063-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                             | STAR Trust, Series 2024-SFR4, Class D                                                                      | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1866320.52   | 0.27%             | 2041-10-17      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5375641 | PA      | $5424999.28   | 0.78%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1072578 | PA      | $1042765.96   | 0.15%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VHF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311518 | PA      | $263884.24    | 0.04%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT                                         | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140838 | PA      | $122190.04    | 0.02%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M45T                                       | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    221322 | PA      | $216341.45    | 0.03%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H03, Class XI                                                                            | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3946421 | PA      | $173117.25    | 0.02%             | 2068-02-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434716 | PA      | $343588.12    | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                                                                   | Boston Lending Trust, Series 2021-1, Class M1                                                              | CUSIP: 100842AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167304 | PA      | $1002639.31   | 0.14%             | 2061-07-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Finance of America HECM Buyout                                                         | Finance of America HECM Buyout, Series 2024-HB1, Class M4                                                  | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6242049.80   | 0.90%             | 2034-10-01      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H09, Class AI                                                                            | CUSIP: 38375BRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90759 | PA      | $1921.98      | 0.00%             | 2062-04-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                                       | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    534031 | PA      | $478770.69    | 0.07%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36176DZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34737 | PA      | $35286.97     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140K8XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166252 | PA      | $148819.17    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX                                                                                    | OBX, Series 2023-INV1, Class A1                                                                            | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1753316 | PA      | $1520795.79   | 0.22%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H20, Class XI                                                                            | CUSIP: 38375B6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26942 | PA      | $857.92       | 0.00%             | 2063-08-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                                             | STAR Trust, Series 2025-SFR6, Class D                                                                      | CUSIP: 85520EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1861054.49   | 0.27%             | 2042-08-17      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41836 | PA      | $40495.03     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DP Facilities Data Center Subordinated Pass Through Trust                              | DP Facilities Data Center Subordinated Pass Through Trust                                                  | CUSIP: 23341GAA2<br>LEI: 549300TYHFJ7EETO8B10 | Long             | DBT              | CORP              | US        |    350000 | PA      | $95375.00     | 0.01%             | 2028-11-10      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140L6M76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600563 | PA      | $471806.39    | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 31425W2U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9340683 | PA      | $9433598.25   | 1.36%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H22, Class AI                                                                            | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312161 | PA      | $14561.07     | 0.00%             | 2066-10-20      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H28, Class SB                                                                            | CUSIP: 38375BYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46975 | PA      | $4745.84      | 0.00%             | 2061-11-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-135, Class SM                                                                            | CUSIP: 38378W6W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103463 | PA      | $5006.28      | 0.00%             | 2043-09-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust TMTS                                                             | Terwin Mortgage Trust TMTS, Series 2004-3HE, Class M1                                                      | CUSIP: 881561FE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179149 | PA      | $176805.79    | 0.03%             | 2035-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HT                                         | CUSIP: 35563PAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1399341 | PA      | $1221580.04   | 0.18%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H13, Class AI                                                                            | CUSIP: 38375B2E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537825 | PA      | $18110.20     | 0.00%             | 2063-05-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M2                                           | CUSIP: 073250BX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354352 | PA      | $1369476.96   | 0.20%             | 2040-12-28      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| GAIA Aviation Ltd.                                                                     | GAIA Aviation Ltd., Series 2019-1, Class A                                                                 | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    448817 | PA      | $435465.93    | 0.06%             | 2044-12-15      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H09, Class AI                                                                            | CUSIP: 38375UWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219487 | PA      | $8353.69      | 0.00%             | 2065-04-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                                  | Conseco Finance Corp., Series 1996-4, Class M1                                                             | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311628 | PA      | $312977.98    | 0.05%             | 2027-06-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Redwood Funding Trust                                                                  | Redwood Funding Trust, Series 2023-1, Class A                                                              | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3921894 | PA      | $3926432.95   | 0.57%             | 2059-07-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                                                          | Galton Funding Mortgage Trust, Series 2019-1, Class A22                                                    | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493870 | PA      | $475996.01    | 0.07%             | 2059-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152305 | PA      | $134079.76    | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31386TQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       781 | PA      | $814.69       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138ARHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49493 | PA      | $49570.67     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitisation DAC                                           | European Residential Loan Securitisation DAC, Series 2019-NPL1, Class C                                    | CUSIP: N/A<br>LEI: 635400NCOLE2BYYWTZ86       | Long             | ABS-O            | CORP              | IE        |   1570455 | PA      | $1903737.64   | 0.27%             | 2054-07-24      | Floating      | 9.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                                       | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    613501 | PA      | $578792.77    | 0.08%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                        | Impac CMB Trust, Series 2005-7, Class A1                                                                   | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939614 | PA      | $855172.03    | 0.12%             | 2035-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114613 | PA      | $103956.04    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H11, Class HI                                                                            | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898490 | PA      | $23765.95     | 0.00%             | 2066-01-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H15, Class XI                                                                            | CUSIP: 38375B4R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4049 | PA      | $418.12       | 0.00%             | 2063-07-20      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H20, Class LI                                                                            | CUSIP: 38375B6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7889 | PA      | $345.92       | 0.00%             | 2063-02-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31387WTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       126 | PA      | $130.84       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2021-2, Class M1                                                    | CUSIP: 74969VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082681 | PA      | $968190.93    | 0.14%             | 2061-09-25      | Variable      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                           | Champs Trust, Series 2024-1, Class A                                                                       | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    957410 | PA      | $994709.82    | 0.14%             | 2059-07-25      | Variable      | 8.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2016-15, Class AS                                                                      | CUSIP: 3136AQ7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601011 | PA      | $32364.88     | 0.00%             | 2046-03-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6327 | PA      | $6152.70      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4413, Class WI                                                                        | CUSIP: 3137BFBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49631 | PA      | $3045.31      | 0.00%             | 2041-10-15      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class M55D                                       | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    432378 | PA      | $411538.69    | 0.06%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2019-H15, Class MI                                                                            | CUSIP: 38380LC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1728981 | PA      | $88811.30     | 0.01%             | 2069-09-20      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                    | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4558.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                                | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  35000000 | PA      | $5488119.79   | 0.79%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Alba plc                                                                               | Alba plc, Series 2005-1, Class C                                                                           | CUSIP: N/A<br>LEI: 213800OGMHK8BKUJEY32       | Long             | ABS-MBS          | CORP              | GB        |    252175 | PA      | $329962.57    | 0.05%             | 2042-11-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                       | Newtek Small Business Loan Trust, Series 2023-1, Class A                                                   | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    597416 | PA      | $601940.63    | 0.09%             | 2050-07-25      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust                                                    | Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A                                             | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    589568 | PA      | $582876.39    | 0.08%             | 2022-09-14      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                                   | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                                           | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1513044.90   | 0.22%             | 2028-11-25      | Variable      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138061 | PA      | $116950.69    | 0.02%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618JAX24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106913 | PA      | $110797.99    | 0.02%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LoanMe Trust Prime                                                                     | LoanMe Trust Prime, Series 2018-1, Class B                                                                 | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225418 | PA      | $225098.86    | 0.03%             | 2034-09-15      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                                     | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                                             | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   1522371 | PA      | $1549324.70   | 0.22%             | 2068-11-25      | Variable      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29729 | PA      | $27527.13     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2023-HB11, Class M4                                                                       | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $964282.00    | 0.14%             | 2037-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4265, Class ST                                                                        | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215673 | PA      | $17671.38     | 0.00%             | 2043-11-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Strips, Series 307                                                                                   | CUSIP: 31364JT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6782 | PA      | $826.69       | 0.00%             | 2030-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                             | ABFC Trust, Series 2005-WF1, Class M5                                                                      | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108615 | PA      | $108369.68    | 0.02%             | 2034-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H14, Class AI                                                                            | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674321 | PA      | $34220.65     | 0.00%             | 2067-06-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                                         | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2965678 | PA      | $2494819.88   | 0.36%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3129457G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162233 | PA      | $162718.37    | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Whole Loan Securities Trust, Series 2017-SC01, Class 1A                                              | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532458 | PA      | $458807.50    | 0.07%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H25, Class DI                                                                            | CUSIP: 38375U2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62282 | PA      | $2320.17      | 0.00%             | 2067-12-20      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2019-1, Class A                                                     | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3909593 | PA      | $3750491.51   | 0.54%             | 2063-10-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2020-47, Class GZ                                                                      | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555307 | PA      | $353310.02    | 0.05%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2021-194, Class NI                                                                            | CUSIP: 38383DDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1540638 | PA      | $222007.55    | 0.03%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2005-3A, Class B1                                                   | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    514623 | PA      | $592952.97    | 0.09%             | 2035-11-25      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                                | Saluda Grade Alternative Mortgage Trust, Series 2025-NPL2, Class A1                                        | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4181193 | PA      | $4175272.79   | 0.60%             | 2030-05-25      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, 30 Year                                                                                              | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95797 | PA      | $89047.79     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2023-HB12, Class M3                                                                       | CUSIP: 12530QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2831691.37   | 0.41%             | 2033-04-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                                               | U.S. Treasury Bills                                                                                        | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9854082.10   | 1.42%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618FSVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141248 | PA      | $146159.77    | 0.02%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Start II Ltd.                                                                          | Start II Ltd., Series 2019-1, Class A                                                                      | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    164549 | PA      | $163566.69    | 0.02%             | 2044-03-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H16, Class IB                                                                            | CUSIP: 38375UD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    589036 | PA      | $17204.65     | 0.00%             | 2067-08-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86346 | PA      | $70898.43     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H08, Class XA                                                                            | CUSIP: 38375BQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21213 | PA      | $4082.48      | 0.00%             | 2060-09-20      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H25                                                                                      | CUSIP: 38375U2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746156 | PA      | $23861.92     | 0.00%             | 2067-11-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Prosil Acquisition SA                                                                  | Prosil Acquisition SA, Series 1, Class A                                                                   | CUSIP: N/A<br>LEI: 529900REZH4056FENJ94       | Long             | ABS-O            | CORP              | LU        |    559383 | PA      | $530619.04    | 0.08%             | 2039-10-31      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                          | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $19836719.00  | 2.86%             | 2055-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class HT                                         | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    320669 | PA      | $276988.23    | 0.04%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31418FQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10229896.50  | 1.47%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138A1JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6412 | PA      | $6537.09      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3676019.01   | 0.53%             | 2055-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                               | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                           | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244375 | PA      | $3376.36      | 0.00%             | 2038-08-25      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2022-H11, Class IG                                                                            | CUSIP: 38382YTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8491275 | PA      | $461432.49    | 0.07%             | 2072-05-20      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H26, Class JI                                                                            | CUSIP: 38375BYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1134 | PA      | $58.97        | 0.00%             | 2061-10-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M                                          | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5647000 | PA      | $5385408.94   | 0.78%             | 2059-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                                  | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M6                                             | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1334547.35   | 0.19%             | 2046-09-25      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58313 | PA      | $53667.25     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                                                           | Champs Trust, Series 2025-1, Class A                                                                       | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4431985 | PA      | $4644179.54   | 0.67%             | 2060-04-25      | Variable      | 8.68%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                            | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1153828.08   | 0.17%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2022-1, Class A1                                                    | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3157564 | PA      | $3016029.47   | 0.43%             | 2062-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H05, Class SA                                                                            | CUSIP: 38375BL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68896 | PA      | $2955.67      | 0.00%             | 2062-10-20      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H13, Class SI                                                                            | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542107 | PA      | $22402.17     | 0.00%             | 2063-06-20      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617GTPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11448 | PA      | $11559.26     | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155092 | PA      | $136382.25    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                                                           | Champs Trust, Series 2025-2, Class A                                                                       | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4094144 | PA      | $4244575.08   | 0.61%             | 2060-10-25      | Variable      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| RCO VIII Mortgage LLC                                                                  | RCO VIII Mortgage LLC, Series 2025-3, Class A1                                                             | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2053927 | PA      | $2060128.96   | 0.30%             | 2030-05-25      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H21, Class DS                                                                            | CUSIP: 38375BWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5320 | PA      | $244.93       | 0.00%             | 2061-05-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Newgate Funding plc                                                                    | Newgate Funding plc, Series 2007-3X, Class D                                                               | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |    333269 | PA      | $442004.75    | 0.06%             | 2050-12-15      | Floating      | 7.09%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                                    | U.S. Treasury 2 Year Notes                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        95 | NC      | $10949.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H30, Class AI                                                                            | CUSIP: 38376RKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82299 | PA      | $1594.87      | 0.00%             | 2061-08-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                       | Oakwood Mortgage Investors, Inc., Series 2001-C, Class A4                                                  | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848508 | PA      | $62127.14     | 0.01%             | 2031-06-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179X4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90467 | PA      | $92042.02     | 0.01%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC                                                                                                      | CUSIP: 3142BN2G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1584473 | PA      | $1615451.73   | 0.23%             | 2054-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 31293SCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3280 | PA      | $3392.11      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                                | Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1                                           | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    708704 | PA      | $766797.09    | 0.11%             | 2040-12-28      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                                 | Harvest SBA Loan Trust, Series 2023-1, Class A                                                             | CUSIP: 41757BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1414380 | PA      | $1462242.95   | 0.21%             | 2050-10-25      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                         | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M4                                                 | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4634127.50   | 0.67%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                                             | CSMC Trust, Series 2021-BRIT, Class A                                                                      | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815707 | PA      | $803371.06    | 0.12%             | 2026-05-09      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                               | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class                  | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  24683898 | NS      | $24683898.09  | 3.56%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H01, Class XI                                                                            | CUSIP: 38375U4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    842100 | PA      | $50566.42     | 0.01%             | 2068-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36180UMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131254 | PA      | $124118.94    | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                         | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1445862 | PA      | $1258734.40   | 0.18%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                                 | Alternative Loan Trust, Series 2007-11T1, Class A37                                                        | CUSIP: 02150GBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70081 | PA      | $68351.71     | 0.01%             | 2037-05-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities No. 1 plc                                                | Lansdowne Mortgage Securities No. 1 plc, Series 1, Class A2                                                | CUSIP: N/A<br>LEI: 549300M5JCJD5NA85U45       | Long             | ABS-MBS          | CORP              | IE        |    339200 | PA      | $391856.00    | 0.06%             | 2045-06-15      | Floating      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179XJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253447 | PA      | $256470.12    | 0.04%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust                                                   | Delta Funding Home Equity Loan Trust, Series 1999-3, Class A1A                                             | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    492275 | PA      | $473456.57    | 0.07%             | 2029-09-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FortiFi                                                                                | FortiFi, Series 2023-1A, Class A                                                                           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    767701 | PA      | $768462.34    | 0.11%             | 2059-09-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H09, Class AI                                                                            | CUSIP: 38375UFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326515 | PA      | $8972.04      | 0.00%             | 2064-01-20      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418C4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20154 | PA      | $19533.02     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2012-63, Class HS                                                                      | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19349 | PA      | $314.10       | 0.00%             | 2041-08-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates Trust                                   | CSFB Mortgage-Backed Pass-Through Certificates Trust, Series 2005-10, Class 4A1                            | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470334 | PA      | $88404.58     | 0.01%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531716 | PA      | $530565.46    | 0.08%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                             | Bear Stearns Asset-Backed Securities Trust, Series 2001-3, Class A3                                        | CUSIP: 07384YBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12026 | PA      | $12027.17     | 0.00%             | 2032-10-27      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                             | Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1M6                                     | CUSIP: 073877AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1268159 | PA      | $1482885.37   | 0.21%             | 2043-08-25      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                                  | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M5                                             | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1481449.35   | 0.21%             | 2046-09-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Prpm Fundido DAC                                                                       | Prpm Fundido DAC, Series 2025-1A, Class C                                                                  | CUSIP: N/A<br>LEI: 894500EWWG2B1D664659       | Long             | ABS-MBS          | CORP              | IE        |   4000000 | PA      | $4585787.64   | 0.66%             | 2075-04-29      | Floating      | 3.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H14, Class XI                                                                            | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386731 | PA      | $10821.54     | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129905 | PA      | $124433.40    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Strips, Series 289, Class 2                                                                          | CUSIP: 31364HQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3264 | PA      | $162.82       | 0.00%             | 2027-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                         | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 6A1                                   | CUSIP: 863579MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133800 | PA      | $121933.58    | 0.02%             | 2035-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                                                          | TIAA Bank Mortgage Loan Trust, Series 2018-3, Class A1                                                     | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107144 | PA      | $101300.28    | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LOANDEPOT GMSR Master Trust                                                            | LOANDEPOT GMSR Master Trust, Series 2025-GT2, Class A                                                      | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2713475.16   | 0.39%             | 2030-07-16      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2025-160, Class Z                                                                             | CUSIP: 38381UNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2992310.40   | 0.43%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7354 | PA      | $7369.10      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2020-1, Class M1                                                    | CUSIP: 74969MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430130 | PA      | $1285028.93   | 0.19%             | 2060-04-26      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4348, Class SA                                                                        | CUSIP: 3137BBZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380830 | PA      | $21761.59     | 0.00%             | 2040-10-15      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H25, Class EI                                                                            | CUSIP: 38375UBD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181175 | PA      | $3097.73      | 0.00%             | 2063-08-20      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                    | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $92226.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 31426Q6Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9679134 | PA      | $9773449.70   | 1.41%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                           | MASTR Alternative Loan Trust                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    111230 | PA      | $102178.68    | 0.01%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                                 | Sequoia Mortgage Trust, Series 2007-4, Class 1A1                                                           | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49350 | PA      | $40292.28     | 0.01%             | 2036-01-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                                   | Prime Mortgage Trust, Series 2006-CL1, Class M3                                                            | CUSIP: 74161QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $614494.81    | 0.09%             | 2035-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2020-H22, Class NI                                                                            | CUSIP: 38380QSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5768333 | PA      | $282912.83    | 0.04%             | 2070-12-20      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60418 | PA      | $59121.02     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                     | Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 4A                                              | CUSIP: 61748HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48820 | PA      | $47790.57     | 0.01%             | 2034-02-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138AMBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3224 | PA      | $3287.80      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140JSED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4231940 | PA      | $3321011.90   | 0.48%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3U77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26963 | PA      | $25565.78     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1139927 | PA      | $997063.90    | 0.14%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                          | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4031250.00   | 0.58%             | 2055-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4314, Class IT                                                                        | CUSIP: 3137B9FK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122981 | PA      | $6867.03      | 0.00%             | 2039-04-15      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                    | U.S. Treasury 10 Year Notes                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        97 | NC      | $30895.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Whole Loan Securities Trust, Series 2016-SC02, Class 1A                                              | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    290778 | PA      | $252106.95    | 0.04%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 31427BJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $9087416.55   | 1.31%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57860 | PA      | $54388.10     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JOL Air Ltd.                                                                           | JOL Air Ltd., Series 2019-1, Class A                                                                       | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |   1224685 | PA      | $1216064.35   | 0.18%             | 2044-04-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3680932.98   | 0.53%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Backed Pass-Through Certificates                                         | WaMu Mortgage Backed Pass-Through Certificates, Series 2001-AR5, Class 1A                                  | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145851 | PA      | $145690.17    | 0.02%             | 2039-12-19      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                                  | Harvest Commercial Capital Loan Trust, Series 2024-1, Class A                                              | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788035 | PA      | $1835822.29   | 0.26%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                       | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2578249 | PA      | $2331743.18   | 0.34%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140JCA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1766825 | PA      | $1613902.86   | 0.23%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31390EZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       618 | PA      | $653.41       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                                | Saluda Grade Alternative Mortgage Trust, Series 2025-NPL1, Class A1                                        | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2019430 | PA      | $2028157.51   | 0.29%             | 2030-01-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2014-10, Class CS                                                                      | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126400 | PA      | $7699.28      | 0.00%             | 2044-03-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2025-AB3, Class M5                                                                        | CUSIP: 15723JAG7<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   2532378 | PA      | $1766512.01   | 0.25%             | 2055-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2020-1, Class A                                                     | CUSIP: 74969MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782468 | PA      | $760546.69    | 0.11%             | 2060-04-26      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31388HBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17124 | PA      | $17900.14     | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H02, Class EI                                                                            | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205797 | PA      | $8793.30      | 0.00%             | 2068-01-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443296 | PA      | $450377.53    | 0.06%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617GTNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9708 | PA      | $9781.19      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                    | U.S. Treasury 5 Year Notes                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       603 | NC      | $69435.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2020-HB1, Class M5                                                       | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8021144 | PA      | $6386719.42   | 0.92%             | 2050-10-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                                     | Tricolor Auto Securitization Trust, Series 2025-2A, Class E                                                | CUSIP: 89617QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $62390.23     | 0.01%             | 2031-04-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2024-HB14, Class M5                                                                       | CUSIP: 12530XAF8<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3640892.80   | 0.52%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Ltd.                                                          | Pioneer Aircraft Finance Ltd., Series 2019-1, Class B                                                      | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2366072 | PA      | $2256142.64   | 0.32%             | 2044-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                           | Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC2, Class 1A2                                   | CUSIP: 07387UGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410151 | PA      | $124471.21    | 0.02%             | 2036-03-25      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H21, Class JI                                                                            | CUSIP: 38375BGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50739 | PA      | $2983.69      | 0.00%             | 2060-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                          | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9702344.00   | 1.40%             | 2055-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2021-HB1, Class M3                                                       | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1910652.60   | 0.28%             | 2031-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    392797 | PA      | $345793.89    | 0.05%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EMF-NL Prime BV                                                                        | EMF-NL Prime BV, Series 2008-APRX, Class A2                                                                | CUSIP: N/A<br>LEI: 724500YACYYG8XY5LM10       | Long             | ABS-MBS          | CORP              | NL        |     33023 | PA      | $38653.60     | 0.01%             | 2041-04-17      | Floating      | 2.84%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                             | J.P. Morgan Mortgage Trust, Series 2004-A6, Class 1A2                                                      | CUSIP: 466247GS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38183 | PA      | $34932.56     | 0.01%             | 2034-12-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Kestrel Aircraft Funding Ltd.                                                          | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A                                                     | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    135759 | PA      | $134930.87    | 0.02%             | 2038-12-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H20, Class DI                                                                            | CUSIP: 38375UM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745541 | PA      | $39760.45     | 0.01%             | 2067-10-20      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2019-H12, Class DI                                                                            | CUSIP: 38380LWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1622279 | PA      | $64486.66     | 0.01%             | 2069-06-20      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140L2AS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517566 | PA      | $406602.94    | 0.06%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1048004 | PA      | $1078849.97   | 0.16%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144423 | PA      | $127727.98    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                               | U.S. Treasury Bills                                                                                        | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4950287.00   | 0.71%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6900000 | PA      | $7019294.45   | 1.01%             | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2019-H14, Class DI                                                                            | CUSIP: 38380LYZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2598862 | PA      | $155433.65    | 0.02%             | 2069-08-20      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2021-HB1, Class M5                                                       | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1433209.05   | 0.21%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31389R3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $120.31       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IMS Ecuadorian Mortgage Trust                                                          | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA                                                     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273671 | PA      | $267908.44    | 0.04%             | 2043-08-18      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31390RTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $848.57       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Ltd.                                                     | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class B                                                | CUSIP: 82321UAB9<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    185466 | PA      | $157740.93    | 0.02%             | 2042-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                                          | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A3                                                    | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91625 | PA      | $66162.02     | 0.01%             | 2035-05-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MT                                         | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    797840 | PA      | $682335.47    | 0.10%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                         | Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C                                     | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040313 | PA      | $1036252.69   | 0.15%             | 2033-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICAP Trust                                                                             | ICAP Trust, Series 2025-RTL1, Class A1                                                                     | CUSIP: 45115QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1521493.35   | 0.22%             | 2030-07-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                       | MASTR Asset Securitization Trust, Series 2005-2, Class 4A1                                                 | CUSIP: 57643MLK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910 | PA      | $855.61       | 0.00%             | 2025-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                            | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2                                                     | CUSIP: 52476DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2542694 | PA      | $2551667.51   | 0.37%             | 2061-04-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Countrywide                                                                            | Countrywide Asset-Backed Certificates, Series 2004-SD2, Class M2                                           | CUSIP: 1266716Z4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444693 | PA      | $460845.44    | 0.07%             | 2033-03-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                        | CoreVest American Finance Trust, Series 2021-2, Class XA                                                   | CUSIP: 21873BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2193984 | PA      | $45855.59     | 0.01%             | 2054-07-15      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                                | Amortizing Residential Collateral Trust, Series 2001-BC6W, Class A                                         | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    401314 | PA      | $397362.34    | 0.06%             | 2031-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618APTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99002 | PA      | $102535.16    | 0.01%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M8W83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29048 | PA      | $29136.76     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4363, Class TI                                                                        | CUSIP: 3137BCNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100802 | PA      | $5510.81      | 0.00%             | 2039-10-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Ltd.                                                     | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A                                                | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    570419 | PA      | $553148.65    | 0.08%             | 2042-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H12, Class BI                                                                            | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612932 | PA      | $21478.37     | 0.00%             | 2064-05-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                                 | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87872 | PA      | $89877.25     | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                                 | Realkredit Danmark A/S, Series CCS                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  10788863 | PA      | $1705307.40   | 0.25%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| METAL LLC                                                                              | METAL LLC, Series 2017-1, Class A                                                                          | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    234665 | PA      | $158398.94    | 0.02%             | 2042-10-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355672 | PA      | $322602.15    | 0.05%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31323ABF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113592 | PA      | $105315.51    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Palatino SPV                                                                           | Palatino SPV, Series 1, Class AR                                                                           | CUSIP: N/A<br>LEI: 8156008628974A9F8838       | Long             | ABS-O            | CORP              | IT        |    751476 | PA      | $847135.40    | 0.12%             | 2045-12-01      | Floating      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VFE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96871 | PA      | $87561.46     | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H11, Class BI                                                                            | CUSIP: 38375BSG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25908 | PA      | $4028.03      | 0.00%             | 2062-05-20      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1367622 | PA      | $1124661.94   | 0.16%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-128, Class IG                                                                            | CUSIP: 38378HP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540667 | PA      | $89358.58     | 0.01%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                         | ACM Auto Trust, Series 2024-2A, Class B                                                                    | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6300000 | PA      | $6338905.02   | 0.91%             | 2031-08-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| FMC Issuer Trust-FMSR                                                                  | FMC Issuer Trust-FMSR, Series 2024-FT1, Class A                                                            | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3824136.08   | 0.55%             | 2029-09-25      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H20, Class BI                                                                            | CUSIP: 38376RYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391556 | PA      | $12214.58     | 0.00%             | 2066-09-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages plc                                                                  | Mansard Mortgages plc, Series 2006-1X, Class M2                                                            | CUSIP: N/A<br>LEI: 213800OR1ZCE1EMOXP13       | Long             | ABS-MBS          | CORP              | GB        |    347749 | PA      | $456847.12    | 0.07%             | 2048-10-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2024-HB14, Class M4                                                                       | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4213563.30   | 0.61%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12408 | PA      | $13155.44     | 0.00%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Whole Loan Securities Trust, Series 2015-SC02, Class 1A                                              | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40540 | PA      | $35757.76     | 0.01%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | UMBS Pool, 30 Year                                                                                         | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13880730 | PA      | $14008179.54  | 2.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H20, Class MI                                                                            | CUSIP: 38376RYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95075 | PA      | $280.07       | 0.00%             | 2062-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                         | Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A1                                 | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62453 | PA      | $56686.13     | 0.01%             | 2045-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                                 | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                           | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1721000 | PA      | $1679741.74   | 0.24%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                                | GSR Mortgage Loan Trust, Series 2004-3F, Class 1A1                                                         | CUSIP: 36228FG34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9805 | PA      | $9572.19      | 0.00%             | 2034-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                                   | LHOME Mortgage Trust, Series 2023-RTL2, Class A1                                                           | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617820 | PA      | $620245.08    | 0.09%             | 2028-06-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| VINE Trust                                                                             | VINE Trust, Series 2023-SFR1, Class E1                                                                     | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1426148.85   | 0.21%             | 2040-12-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GJUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25922 | PA      | $26003.82     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                                | Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class M1                                        | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2561839.00   | 0.37%             | 2050-05-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47506 | PA      | $46197.42     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8422 | PA      | $8169.88      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                         | Cascade Funding Mortgage Trust, Series 2024-RM5, Class M2                                                  | CUSIP: 147275AC5<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1378895.55   | 0.20%             | 2054-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H20, Class MI                                                                            | CUSIP: 38375UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2060549 | PA      | $165489.52    | 0.02%             | 2064-10-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214510 | PA      | $219349.12    | 0.03%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                                                                   | Boston Lending Trust, Series 2022-2, Class M1                                                              | CUSIP: 10085BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1718696.16   | 0.25%             | 2062-05-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| HSBC USA, Inc.                                                                         | HSBC USA, Inc.                                                                                             | CUSIP: 40434RAT9<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2959232.70   | 0.43%             | 2026-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                                 | Velocity Commercial Capital Loan Trust, Series 2025-4, Class M2                                            | CUSIP: 92262JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1223103.33   | 0.18%             | 2055-09-25      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H13, Class EI                                                                            | CUSIP: 38376RVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11064412 | PA      | $561905.92    | 0.08%             | 2066-04-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2021-HB1, Class M2                                                       | CUSIP: 74969TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $487004.15    | 0.07%             | 2031-11-25      | Variable      | 3.15%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                       | Newtek Small Business Loan Trust, Series 2022-1, Class A                                                   | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    723606 | PA      | $727264.71    | 0.10%             | 2049-10-25      | Floating      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2009-24, Class LC                                                                      | CUSIP: 31397NWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12251 | PA      | $10867.04     | 0.00%             | 2039-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                            | Onity Loan Investment Trust, Series 2024-HB2, Class M3                                                     | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1954842.60   | 0.28%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418D5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3987425 | PA      | $3289020.31   | 0.47%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H22, Class HI                                                                            | CUSIP: 38375BHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35475 | PA      | $3538.96      | 0.00%             | 2060-10-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                                         | ACM Auto Trust, Series 2025-1A, Class B                                                                    | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2504515.00   | 0.36%             | 2031-11-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14858 | PA      | $15744.77     | 0.00%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                         | RMF Proprietary Issuance Trust, Series 2022-2, Class M3                                                    | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1782986.00   | 0.26%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                            | PRKCM Trust, Series 2024-HOME1, Class A1                                                                   | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815614 | PA      | $831748.12    | 0.12%             | 2059-05-25      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618NPT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3985804 | PA      | $4046481.13   | 0.58%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H08, Class XB                                                                            | CUSIP: 38375BQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16311 | PA      | $1519.40      | 0.00%             | 2062-03-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15193 | PA      | $16033.95     | 0.00%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52384 | PA      | $50813.55     | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                                    | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                                              | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    686000 | PA      | $627718.95    | 0.09%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                                               | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                       | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122000 | PA      | $2152251.02   | 0.31%             | 2029-11-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                                                   | loanDepot GMSR Trust, Series 2025-GT1, Class A                                                             | CUSIP: 53946TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5012642.50   | 0.72%             | 2030-05-16      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140KSH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335146 | PA      | $264262.30    | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5400000 | PA      | $5079348.54   | 0.73%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                                             | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                         | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96178 | PA      | $96114.31     | 0.01%             | 2044-12-27      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H22, Class AI                                                                            | CUSIP: 38375URW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1319204 | PA      | $72947.38     | 0.01%             | 2064-11-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                             | ATLX Trust, Series 2024-RPL1, Class A2                                                                     | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1453155.60   | 0.21%             | 2064-04-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H04, Class HI                                                                            | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259616 | PA      | $13610.27     | 0.00%             | 2065-07-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                                 | Realkredit Danmark A/S, Series 28S                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  20000000 | PA      | $3109230.03   | 0.45%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230886 | PA      | $204330.38    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36589 | PA      | $34393.11     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, REMIC, Series 2010-68, Class BA                                                                      | CUSIP: 31398THK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194850 | PA      | $196745.38    | 0.03%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98665 | PA      | $93674.12     | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                                                                   | Boston Lending Trust, Series 2021-1, Class A                                                               | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1362069 | PA      | $1252588.50   | 0.18%             | 2061-07-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                                             | CSMC Trust, Series 2021-BPNY, Class A                                                                      | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5547170 | PA      | $5272244.88   | 0.76%             | 2026-08-15      | Floating      | 7.98%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                              | RMF Buyout Issuance Trust, Series 2021-HB1, Class M4                                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4997193.60   | 0.72%             | 2031-11-25      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                         | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    813569 | PA      | $729964.27    | 0.11%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34724 | PA      | $31957.22     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2011-94, Class SU                                                                             | CUSIP: 38377WJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59077 | PA      | $4726.23      | 0.00%             | 2041-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                                   | EFMT, Series 2025-RM1, Class A1A                                                                           | CUSIP: 267951AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2972225 | PA      | $2869133.39   | 0.41%             | 2055-05-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| NRZ FHT Excess LLC                                                                     | NRZ FHT Excess LLC, Series 2020-FHT1, Class A                                                              | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461019 | PA      | $460175.98    | 0.07%             | 2025-11-25      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H13, Class IK                                                                            | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3271328 | PA      | $293876.47    | 0.04%             | 2066-06-20      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353073 | PA      | $334009.17    | 0.05%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                                   | LHOME Mortgage Trust, Series 2023-RTL3, Class A1                                                           | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1305288.14   | 0.19%             | 2028-08-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                                | GSR Mortgage Loan Trust, Series 2005-2F, Class 3A1                                                         | CUSIP: 36242DYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35916 | PA      | $21696.03     | 0.00%             | 2035-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| LSF11 Boson Investments Sarl Compartment 2                                             | LSF11 Boson Investments Sarl Compartment 2, Series 2021-NPLX, Class A1                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |    996338 | PA      | $1174001.04   | 0.17%             | 2060-11-25      | Floating      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT                                         | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1176047 | PA      | $1042076.17   | 0.15%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2018-H04                                                                                      | CUSIP: 38380VPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662020 | PA      | $29080.42     | 0.00%             | 2068-02-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                                    | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $64569.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC, REMIC, Series 4259, Class IA                                                                        | CUSIP: 3137B53F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21055 | PA      | $4542.58      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                                 | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M3                                            | CUSIP: 92259TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1519250 | PA      | $1159679.50   | 0.17%             | 2051-05-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo                            | GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo, Series 2007-2U, Class A                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | MX        |  15560707 | PA      | $1425668.68   | 0.21%             | 2036-03-25      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                                | Flagstar Mortgage Trust, Series 2020-1INV, Class A3                                                        | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99286 | PA      | $85909.51     | 0.01%             | 2050-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140MFHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1301898 | PA      | $1068986.01   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39474 | PA      | $38107.27     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H15, Class WI                                                                            | CUSIP: 38375BEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228418 | PA      | $13749.60     | 0.00%             | 2060-05-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2015-H05, Class BI                                                                            | CUSIP: 38375UUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1030860 | PA      | $43217.01     | 0.01%             | 2065-02-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31281BWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176958 | PA      | $167130.68    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5060211 | PA      | $4449750.68   | 0.64%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140QAVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6075 | PA      | $5590.55      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-H11, Class CI                                                                            | CUSIP: 38375BSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83262 | PA      | $11706.13     | 0.00%             | 2062-04-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| E-MAC Program BV                                                                       | E-MAC Program BV, Series 2007-1, Class C                                                                   | CUSIP: N/A<br>LEI: 724500SKQP7E7072AD15       | Long             | ABS-MBS          | CORP              | NL        |   1521739 | PA      | $1475183.85   | 0.21%             | 2046-07-25      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| RCO X Mortgage LLC                                                                     | RCO X Mortgage LLC, Series 2025-1, Class A1                                                                | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374087 | PA      | $378464.78    | 0.05%             | 2030-01-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10175 | PA      | $9364.56      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H15, Class IF                                                                            | CUSIP: 38375BDP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        60 | PA      | $3.90         | 0.00%             | 2060-04-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2006-3A, Class M2                                                   | CUSIP: 07324NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399443 | PA      | $379873.60    | 0.05%             | 2036-10-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2006-3A, Class M3                                                   | CUSIP: 07324NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612528 | PA      | $579432.32    | 0.08%             | 2036-10-25      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| RiverView HECM Pass-Through Certificates                                               | RiverView HECM Pass-Through Certificates, Series 2007-4X, Class A                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1662767 | PA      | $1449635.53   | 0.21%             | 2047-05-25      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2007-3, Class M1                                                    | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1123095 | PA      | $1057506.92   | 0.15%             | 2037-07-25      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                                       | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    181414 | PA      | $172068.04    | 0.02%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H07, Class FM                                                                            | CUSIP: 38376RRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       730 | PA      | $728.51       | 0.00%             | 2066-02-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138A8YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18982 | PA      | $19353.80     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                                    | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M2                                            | CUSIP: 10638RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2977654 | PA      | $2815684.98   | 0.41%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-57, Class NI                                                                             | CUSIP: 38375CAA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6841 | PA      | $275.51       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                         | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1                                    | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52156 | PA      | $52639.45     | 0.01%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2010-H27, Class JI                                                                            | CUSIP: 38375BJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654790 | PA      | $44311.24     | 0.01%             | 2060-11-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3YF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810835 | PA      | $639342.60    | 0.09%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36179Y2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1542959 | PA      | $1561902.63   | 0.22%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140JVWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75845 | PA      | $70288.19     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                            | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $958618.10    | 0.14%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13946 | PA      | $14694.11     | 0.00%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2024-HB13, Class M4                                                                       | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2819985.90   | 0.41%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148991 | PA      | $140049.77    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                         | Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1                                                   | CUSIP: 007036ES1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56118 | PA      | $53919.00     | 0.01%             | 2035-04-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618J8WW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2811122 | PA      | $2856029.84   | 0.41%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                           | Saxon Asset Securities Trust, Series 2002-3, Class M1                                                      | CUSIP: 805564MK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211072 | PA      | $197776.69    | 0.03%             | 2032-12-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Eurohome Mortgages plc                                                                 | Eurohome Mortgages plc, Series 2007-1, Class A                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |    128154 | PA      | $142555.62    | 0.02%             | 2050-08-02      | Floating      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H16, Class BI                                                                            | CUSIP: 38375UD80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312245 | PA      | $13716.04     | 0.00%             | 2067-08-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                                  | FMC GMSR Issuer Trust, Series 2022-GT2, Class A                                                            | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3999008 | PA      | $4022121.47   | 0.58%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2017-H15, Class KI                                                                            | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1170967 | PA      | $63323.69     | 0.01%             | 2067-07-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179USM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16447 | PA      | $16339.06     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERIT Securities Corp.                                                                 | MERIT Securities Corp., Series 11PA, Class B3                                                              | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258271 | PA      | $249043.05    | 0.04%             | 2032-09-28      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust                                         | Finance of America Structured Securities Trust, Series 2024-S4, Class A1                                   | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2489268 | PA      | $2411945.81   | 0.35%             | 2074-11-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                                | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  18995878 | PA      | $3032665.98   | 0.44%             | 2046-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179WRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508114 | PA      | $475716.61    | 0.07%             | 2051-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H11, Class PI                                                                            | CUSIP: 38375BZ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181637 | PA      | $7364.12      | 0.00%             | 2063-04-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126134 | PA      | $108397.08    | 0.02%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                                 | CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A                                            | CUSIP: 126685AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5431177 | PA      | $5268409.83   | 0.76%             | 2035-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -6900000 | PA      | $-7019294.45  | -1.01%            | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                                    | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                              | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2552450.40   | 0.37%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2013-H04, Class BI                                                                            | CUSIP: 38375BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27075 | PA      | $3704.86      | 0.00%             | 2063-02-20      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3638 | PA      | $3774.21      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                             | GSAA Trust, Series 2004-CW1, Class 2A1                                                                     | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137532 | PA      | $139043.18    | 0.02%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class HT                                         | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    117509 | PA      | $102581.64    | 0.01%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                                 | Harvest SBA Loan Trust, Series 2024-1, Class A                                                             | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2039890 | PA      | $2054632.37   | 0.30%             | 2051-12-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 3138A6JT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13046 | PA      | $13302.15     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Whole Loan Securities Trust, Series 2015-SC01, Class 1A                                              | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35942 | PA      | $32846.20     | 0.00%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 312944S69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6148 | PA      | $6272.94      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140MFQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2167352 | PA      | $1779608.54   | 0.26%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                                     | Banco Santander SA                                                                                         | CUSIP: 05970UAE8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | STIV             | CORP              | ES        |   3000000 | PA      | $2964278.10   | 0.43%             | 2026-01-14      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M55D                                       | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    686514 | PA      | $647615.37    | 0.09%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                            | Ocwen Loan Investment Trust, Series 2024-HB1, Class M3                                                     | CUSIP: 675952AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1435207.35   | 0.21%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                           | Champs Trust, Series 2024-2, Class A                                                                       | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1963361 | PA      | $2054904.53   | 0.30%             | 2059-11-25      | Variable      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UQV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28427 | PA      | $28241.51     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418EDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620540 | PA      | $1401237.29   | 0.20%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages No. 1 plc                                                         | Great Hall Mortgages No. 1 plc, Series 2007-1, Class BB                                                    | CUSIP: N/A<br>LEI: 213800TM9KICQKGTYR78       | Long             | ABS-MBS          | CORP              | GB        |    356476 | PA      | $414939.68    | 0.06%             | 2039-03-18      | Floating      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36180ABW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1064332 | PA      | $1073036.78   | 0.15%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31371RFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8366 | PA      | $8768.42      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, 30 Year                                                                                              | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202566 | PA      | $187977.42    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67542 | PA      | $67100.29     | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                           | GS Mortgage Securities Trust, Series 2015-GC32, Class D                                                    | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |     36240 | PA      | $35465.29     | 0.01%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                                 | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                          | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215019 | PA      | $214277.73    | 0.03%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                        | CHL Mortgage Pass-Through Trust, Series 2004-19, Class A14                                                 | CUSIP: 12669F4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164353 | PA      | $165490.91    | 0.02%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                                  | Harvest Commercial Capital Loan Trust, Series 2020-1, Class M5                                             | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554000 | PA      | $1437829.49   | 0.21%             | 2052-04-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                         | Bayview Commercial Asset Trust, Series 2005-3A, Class M1                                                   | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363457 | PA      | $359671.21    | 0.05%             | 2035-11-25      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                                             | STAR Trust, Series 2022-SFR3, Class F                                                                      | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900443 | PA      | $1911474.13   | 0.28%             | 2039-05-17      | Floating      | 8.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44610 | PA      | $41055.40     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418DD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81266 | PA      | $78661.16     | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                       | Oakwood Mortgage Investors, Inc., Series 1999-D, Class A1                                                  | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44181 | PA      | $44780.63     | 0.01%             | 2029-11-15      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       122 | PA      | $126.64       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                               | CFMT LLC, Series 2024-NR1, Class A1                                                                        | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1806827 | PA      | $1813262.87   | 0.26%             | 2029-11-25      | Variable      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 3140KUWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250848 | PA      | $209512.65    | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                               | U.S. Treasury Bills                                                                                        | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4967822.10   | 0.72%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2012-102, Class SA                                                                            | CUSIP: 38375GZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171579 | PA      | $19503.34     | 0.00%             | 2042-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | UMBS, 30 Year                                                                                              | CUSIP: 31390FAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1087 | PA      | $1139.17      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2016-H20, Class CI                                                                            | CUSIP: 38376RYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6081696 | PA      | $287200.42    | 0.04%             | 2066-08-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                                 | Residential Asset Securitization Trust, Series 2007-A2, Class 2A4                                          | CUSIP: 761120AN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13203545 | PA      | $272680.93    | 0.04%             | 2037-04-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                            | Ocwen Loan Investment Trust, Series 2023-HB1, Class M3                                                     | CUSIP: 67578KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $979210.40    | 0.14%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241100 | PA      | $212249.31    | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class MT                                         | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    465061 | PA      | $402784.60    | 0.06%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust                                                               | ABFS Mortgage Loan Trust, Class X                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3324696 | PA      | $400000.00    | 0.06%             | 2034-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA II, Other                                                                                             | CUSIP: 36179UNZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21409 | PA      | $20767.05     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                                   | FNMA, Other                                                                                                | CUSIP: 31418D7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4943138 | PA      | $3897660.46   | 0.56%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT                                         | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1351873 | PA      | $1178522.82   | 0.17%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                                | Nykredit Realkredit A/S, Series 01e                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  35000000 | PA      | $5532169.45   | 0.80%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                                               | PRET LLC, Series 2024-NPL8, Class A1                                                                       | CUSIP: 69392DAA0<br>LEI: 254900IGILCZGVE9SS90 | Long             | ABS-MBS          | CORP              | US        |    542729 | PA      | $544387.33    | 0.08%             | 2054-11-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                                 | Alternative Loan Trust, Series 2005-79CB, Class A3                                                         | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29687 | PA      | $16581.17     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                       | Oakwood Mortgage Investors, Inc., Series 2000-C, Class A1                                                  | CUSIP: 67087TBN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13301 | PA      | $13361.01     | 0.00%             | 2030-04-15      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                                   | GNMA, Series 2014-H07, Class BI                                                                            | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611811 | PA      | $15343.67     | 0.00%             | 2064-05-20      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** Morgan Stanley ETF Trust

**Signature:** Francis J. Smith

**Name of Signer:** Francis J. Smith

**Title:** Principal Financial Officer