# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000035402-25-001357
**Filing Date:** 2025-10
**Character Count:** 701417
**Document Hash:** 969e1adc66f30ba82b235ec4b5226353
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-001357.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0000035402-25-001357

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 251424384

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Advisor Mortgage Securities Fund (Series ID: S000005133)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000014042 | Class A                           | FMGAX           |
| C000014044 | Class C                           | FOMCX           |
| C000014045 | Class M                           | FMSAX           |
| C000014046 | Class I                           | FMSCX           |
| C000014129 | Fidelity Mortgage Securities Fund | FMSFX           |
| C000204997 | Class Z                           | FIKUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Advisor Series II

- **b. Investment Company Act file number:** 811-04707

- **c. CIK number of Registrant:** 0000795422

- **d. LEI of Registrant:** EIVUM2R16VT371T5KS40

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Advisor Mortgage Securities Fund

- **b. EDGAR series identifier (if any):** S000005133

- **c. LEI of Series:** WIIX6BNCF8B12FQGCD90

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1337506891.73

**Total Liabilities:** $668138550.41

**Net Assets:** $669368341.32

**Delayed Delivery Securities:** $407378222.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3247.64615218 | **1-Year:** 48182.50925329 | **5-Year:** 99480.37312524 | **10-Year:** 148134.41147750 | **30-Year:** 38666.22642737

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

- **3-Month:** 31.54148038 | **1-Year:** 265.97275551 | **5-Year:** 451.05657936 | **10-Year:** 215.53600444 | **30-Year:** 1.18845029

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014045 | 1.67%                | -0.40%               | 1.55%                |
| Class ID C000014046 | 1.59%                | -0.28%               | 1.57%                |
| Class ID C000014129 | 1.70%                | -0.37%               | 1.57%                |
| Class ID C000014042 | 1.67%                | -0.40%               | 1.55%                |
| Class ID C000204997 | 1.61%                | -0.26%               | 1.58%                |
| Class ID C000014044 | 1.62%                | -0.47%               | 1.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $115705.73               | $9778089.60                                |
| Month 2  | $1476569.82              | $-6621786.38                               |
| Month 3  | $1173921.13              | $8485449.99                                |

**Designated Index Information**

- **Index Name:** Bloomberg US MBS Index

- **Index Identifier:** 19808147

### 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 GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 01/01/2032#AS8602                                                 | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144907 | PA      | $139898.04    | 0.02%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/51#BT1461                                                        | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110235 | PA      | $89168.44     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                            | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     666333 | PA      | $667871.17    | 0.10%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2046#AS9175                                                   | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23310 | PA      | $21511.71     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745127                                                          | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17574 | PA      | $17510.98     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                      | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     228160 | PA      | $230028.65    | 0.03%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 04/01/2032#J36710                                                   | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4285 | PA      | $4192.84      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                   | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                         | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1198863 | PA      | $1200736.64   | 0.18%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455259 | PA      | $432496.05    | 0.06%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK9019                                                          | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45048 | PA      | $43762.57     | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 07/35#CA6242                                                        | CUSIP: 3140QD5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8107585 | PA      | $7507718.60   | 1.12%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                 | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121666 | PA      | $117500.64    | 0.02%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 11/27 #437435                                                         | CUSIP: 36207N4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $61.64        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 10/01/2055 #TBA                                                     | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100000 | PA      | $96235.08     | 0.01%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479607                                                         | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37546 | PA      | $36414.96     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-5                                     | TOWD PT MTG TR 2018-5 3.25% 07/25/2058 144A                                      | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1032912 | PA      | $1020956.63   | 0.15%             | 2058-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.182% 6/37 #848188                                                     | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49672 | PA      | $51070.33     | 0.01%             | 2037-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                               | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                               | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205037 | PA      | $196827.90    | 0.03%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/41 #005203                                                      | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355093 | PA      | $343663.74    | 0.05%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18136                                                 | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1861 | PA      | $1799.10      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2049#CA4142                                                   | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     863333 | PA      | $763312.09    | 0.11%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q12164                                                 | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7591 | PA      | $7368.71      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5.5% 09/01/2055 #TBA                                                   | CUSIP: 01F052698<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -8200000 | PA      | $-8248047.08  | -1.23%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 01/01/2055#SL0307                                                 | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1465726 | PA      | $1497589.07   | 0.22%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3037                                                   | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214390 | PA      | $172748.60    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                 | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349101 | PA      | $329133.72    | 0.05%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479494                                                         | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140066 | PA      | $135605.82    | 0.02%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 11/40 #004853                                                      | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171053 | PA      | $165811.44    | 0.02%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.87% 1/35 #735833                                                      | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1489 | PA      | $1529.55      | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                              | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                               | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     130000 | PA      | $130224.03    | 0.02%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/52#MA4805                                                      | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993824 | PA      | $960238.10    | 0.14%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP 04/17/65 B                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     350000 | NC      | $55968.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 06/01/2053#RA9277                                                   | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460727 | PA      | $476455.91    | 0.07%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP7148                                                         | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16357 | PA      | $15425.55     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2047#ZM3411                                                   | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88702 | PA      | $84315.22     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 09/01/2053#RA9856                                                   | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436301 | PA      | $449696.06    | 0.07%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $-5368.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                  | GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048                        | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    1567542 | PA      | $95.93        | 0.00%             | 2048-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR9310                                                   | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5417 | PA      | $5001.13      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2048#BJ4970                                                   | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105403 | PA      | $100026.03    | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.75% MAC 09/17/45                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -8258000 | NC      | $-54852.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      70000 | NC      | $11193.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                        | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9613 | PA      | $894.67       | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                  | UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A                                   | CUSIP: 916925AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     200000 | PA      | $201160.00    | 0.03%             | 2047-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 09/01/2055 #TBA                                                   | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   14350000 | PA      | $11913302.56  | 1.78%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 03/01/2051#SD2903                                                   | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1139667 | PA      | $915100.06    | 0.14%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 6/41 #757631                                                          | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6527 | PA      | $6315.51      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                   | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     144400 | PA      | $130094.39    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3.5% 11/01/2033#G16677                                                 | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271259 | PA      | $266379.67    | 0.04%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745236                                                          | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56518 | PA      | $56323.44     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 02/15/2043#796369                                                 | CUSIP: 36177RCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211633 | PA      | $198229.30    | 0.03%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                            | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                           | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     886411 | PA      | $892536.15    | 0.13%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 11/01/2050#SD7530                                                 | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3780712 | PA      | $3195212.84   | 0.48%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #G06973                                                          | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     510483 | PA      | $495792.69    | 0.07%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                        | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                             | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    1010000 | PA      | $1034514.52   | 0.15%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 7% 2/32 #003202                                                          | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6587 | PA      | $6864.10      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.39% 12/36 #1J1448                                                     | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14643 | PA      | $15266.82     | 0.00%             | 2036-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK8228                                                          | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91518 | PA      | $88918.39     | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 07/01/2041#SC0370                                                 | CUSIP: 3132D9MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1485891 | PA      | $1338025.95   | 0.20%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 07/01/2032#G31067                                                 | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86957 | PA      | $85646.19     | 0.01%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 9/39 #004540                                                       | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2942 | PA      | $2928.28      | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #751249                                                         | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3336 | PA      | $3241.50      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                          | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                              | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3640588 | PA      | $64791.54     | 0.01%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                           | BANK 20-BNK25 XB CSTR 01/15/2063                                                 | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7140322 | PA      | $129520.44    | 0.02%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5.5% 09/01/2055 #TBA                                                   | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   21325000 | PA      | $21449951.71  | 3.20%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1A              | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1A 4.65% 05/25/2038 144A               | CUSIP: 891950AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $510258.20    | 0.08%             | 2038-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2048#CA2432                                                 | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772959 | PA      | $759638.98    | 0.11%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/01/2051#FM9049                                                   | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842219 | PA      | $740959.21    | 0.11%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 10/01/2051#RA5998                                                   | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1134873 | PA      | $997009.60    | 0.15%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2004-32 GS 650-1ML 5/34                                                      | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      27545 | PA      | $1610.84      | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 11/01/2041#SC0210                                                 | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2885320 | PA      | $2582896.48   | 0.39%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                          | CSMC SER 2015-1R TSFR1M+39.448 05/27/2037 144A                                   | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      52762 | PA      | $52430.91     | 0.01%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 11/27 #780834                                                         | CUSIP: 36225A4T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        391 | PA      | $397.04       | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 09/01/2055 #TBA                                                       | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18100000 | PA      | $16033237.02  | 2.40%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 11/01/2053#RJ0189                                                   | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166152 | PA      | $171253.36    | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 03/15/2043#AD0818                                                 | CUSIP: 36180B4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144255 | PA      | $135453.27    | 0.02%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 11/01/2035#QN4142                                                 | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15786 | PA      | $14184.66     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 03/15/2041#763058                                                 | CUSIP: 36176DQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57246 | PA      | $55888.14     | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 2/42 #Q06088                                                          | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28316 | PA      | $27583.29     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2017-30 AI 5.5% 05/47                                                        | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      87687 | PA      | $12457.37     | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 12/20/2051#785805                                                   | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     763702 | PA      | $645005.62    | 0.10%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.5% 06/15/2041#366975                                                 | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278867 | PA      | $277735.15    | 0.04%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/39 #698329                                                          | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2013 | PA      | $2007.11      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                   | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 4.82% 07/14/2038 144A                    | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2028940.00   | 0.30%             | 2038-07-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                              | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3909453 | PA      | $84944.20     | 0.01%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2043#AC9441                                                   | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17620 | PA      | $17025.88     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/46#Q43257                                                      | CUSIP: 3132WGTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28288 | PA      | $26240.41     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2052#CB5124                                                 | CUSIP: 3140QQVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1435795 | PA      | $1387272.80   | 0.21%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 08/15/43#AF5070                                                   | CUSIP: 36181LT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3702 | PA      | $3578.23      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-135 ZA 4.5% 12/40                                                       | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      24244 | PA      | $23338.49     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2052#                                                         | CUSIP: 3140N0PL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     763671 | PA      | $720653.93    | 0.11%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2041#AI7563                                                 | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7732 | PA      | $7720.06      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#FM9568                                                   | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2338979 | PA      | $1893442.01   | 0.28%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 8.00% 3/37 #922475                                                          | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4676 | PA      | $5046.91      | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 02/01/2043#Q15789                                                 | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25754 | PA      | $23771.00     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 03/01/2054#FS8634                                                   | CUSIP: 3140XQSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97082 | PA      | $97222.86     | 0.01%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                             | DLLAD 2023-1A 4.79% 01/20/2028 144A                                              | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     383580 | PA      | $384997.80    | 0.06%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 09/01/2055 #TBA                                                     | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  118325000 | PA      | $93948204.13  | 14.04%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.25% 6/36 #886983                                                      | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        607 | PA      | $623.07       | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21524                                                 | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3248 | PA      | $3156.30      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 01/01/2044#Q24349                                                 | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23670 | PA      | $22864.46     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                                  | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     665605 | PA      | $615066.05    | 0.09%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                 | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7389 | PA      | $6854.63      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP6486                                                         | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5717 | PA      | $5378.66      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2052#FS0840                                                   | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163634 | PA      | $143295.30    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 3/40 #678658                                                          | CUSIP: 36295R5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13569 | PA      | $13164.35     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 03/01/2051#QC0031                                                 | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27540 | PA      | $21151.09     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2052#SD8257                                                 | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     518579 | PA      | $501053.91    | 0.07%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #250990                                                          | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.90         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07441                                                          | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10274 | PA      | $9996.57      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#SD2175                                                   | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218251 | PA      | $217681.13    | 0.03%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                              | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                              | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6856467 | PA      | $106562.53    | 0.02%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                            | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      49331 | PA      | $1581.61      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2046#BM5199                                                 | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178614 | PA      | $178367.46    | 0.03%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 11/01/2051#QD1240                                                   | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18305 | PA      | $16041.27     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2050#CA5122                                                   | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525915 | PA      | $463670.68    | 0.07%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #743101                                                          | CUSIP: 3620AXRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2236 | PA      | $2271.25      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3415 PC 5% 12/37                                                             | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      11127 | PA      | $11293.68     | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BACKED SECS 2003-I TR                     | WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033               | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      20036 | PA      | $19860.78     | 0.00%             | 2033-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 2/41 #A96807                                                          | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195278 | PA      | $190423.16    | 0.03%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 12/01/2040#FM5042                                                   | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140444 | PA      | $122465.07    | 0.02%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                            | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                             | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    5100000 | PA      | $5123543.64   | 0.77%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 03/15/2042#796180                                                   | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7617 | PA      | $7362.46      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 12/20/2054#MB0093                                                     | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2208999 | PA      | $2252445.81   | 0.34%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 8/26 #C90997                                                     | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1040 | PA      | $1045.41      | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/29 #487563                                                          | CUSIP: 36210BTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4566 | PA      | $4726.20      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                            | MSRM 2025-NQM3 VAR 05/25/2070 144A                                               | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     762241 | PA      | $767394.71    | 0.11%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 02/01/2033#SB0621                                                   | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25263 | PA      | $24743.65     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2041#AH5464                                                 | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8193 | PA      | $8173.79      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 4.065 05/02/30                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     790000 | NC      | $27452.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#FM9538                                                   | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35448 | PA      | $28695.71     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2050#FM2439                                                   | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1437067 | PA      | $1269677.80   | 0.19%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 09/20/2046#MA3939                                                   | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2535 | PA      | $2519.43      | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 9/39 #710868                                                          | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50599 | PA      | $52121.12     | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                        | PRPM 2024-RCF3 LLC 4% 05/25/2054 144A                                            | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     643568 | PA      | $633021.47    | 0.09%             | 2054-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 07/01/2055#CC0715                                                 | CUSIP: 3140Y6YM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891332 | PA      | $898173.93    | 0.13%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/40 #737442                                                          | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3395 | PA      | $3298.33      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037                        | CUSIP: 31396VYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       7503 | PA      | $708.77       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2042#794559                                                   | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4828 | PA      | $4673.42      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2023-53 FP SOFR30A+155 11/25/2053                 | CUSIP: 3136BQTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2201822 | PA      | $2220940.88   | 0.33%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 09/01/2055 #TBA                                                       | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2150000 | PA      | $2004979.06   | 0.30%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 06/01/2054#CB8729                                                 | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620012 | PA      | $643859.51    | 0.10%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13425                                                 | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22194 | PA      | $21509.37     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 03/15/2042#773367                                                 | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14282 | PA      | $13829.58     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP REC 3.9 07/08/26                                                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    1800000 | NC      | $60397.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 03/01/2041#MA4287                                                   | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16219 | PA      | $14068.43     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2039#                                                       | CUSIP: 312938BB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5676 | PA      | $5676.64      | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 10/01/2055 #TBA                                                     | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   71400000 | PA      | $56701645.98  | 8.47%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 04/01/2036#FM9743                                                 | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143119 | PA      | $138219.57    | 0.02%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                            | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     570446 | PA      | $571113.01    | 0.09%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 02/15/2047                                     | CUSIP: 3137FCYM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      86126 | PA      | $85291.22     | 0.01%             | 2047-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                  | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                      | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263632 | PA      | $255708.05    | 0.04%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/01/2052#CB2906                                                 | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196116 | PA      | $178518.04    | 0.03%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                   | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     167812 | PA      | $147131.54    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 09/20/2052#MA8266                                                   | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2539814 | PA      | $2318062.97   | 0.35%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 04/01/2054#                                                         | CUSIP: 3140QUH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1326221 | PA      | $1359064.71   | 0.20%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 10/01/2054#CB9365                                                 | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161490 | PA      | $1171131.27   | 0.17%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                          | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                         | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     241635 | PA      | $227011.51    | 0.03%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/01/2047#BJ0197                                                   | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6480 | PA      | $6200.11      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/41 #005055                                                       | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129148 | PA      | $128458.98    | 0.02%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 05/01/2036#QN6387                                                 | CUSIP: 3133GDCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1263852 | PA      | $1133694.54   | 0.17%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                           | ONEMAIN FINL ISSUANCE TR 2020-2 1.75% 09/14/2035 144A                            | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     885000 | PA      | $868700.07    | 0.13%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 05/01/2042#RB0806                                                 | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36689 | PA      | $32754.91     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 05/01/2051#CB0388                                                 | CUSIP: 3140QKNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536836 | PA      | $450678.93    | 0.07%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                        | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                              | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     345000 | PA      | $349481.38    | 0.05%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 3/42 #Q07242                                                          | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30277 | PA      | $29400.58     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/32 #254383                                                          | CUSIP: 31371KRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        800 | PA      | $853.57       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96766                                                          | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9289 | PA      | $9281.75      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 10/01/2053#SD8367                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182411 | PA      | $183982.37    | 0.03%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 01/01/2037#FS1654                                                 | CUSIP: 3140XGZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1326430 | PA      | $1252547.51   | 0.19%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                       | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                   | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1310000 | PA      | $1315731.25   | 0.20%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 02/20/2052#MA7880                                                     | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16296177 | PA      | $13346146.94  | 1.99%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CZ030007 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $11792.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS6967                                                   | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11565 | PA      | $10672.67     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 02/01/2052#SD2298                                                   | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165345 | PA      | $133849.58    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2042#C04320                                                   | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235934 | PA      | $217051.37    | 0.03%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                   | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        182 | PA      | $1.58         | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2017-134 BA 2.5% 11/46                                                       | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      31790 | PA      | $29108.38     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 11/01/2051#                                                       | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115366 | PA      | $96382.65     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6.5% 11/01/2054#RJ2828                                                 | CUSIP: 3142GTEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200029 | PA      | $211332.03    | 0.03%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 04/01/2032#                                                       | CUSIP: 31287SCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1083.15      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                            | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1220347 | PA      | $1085424.24   | 0.16%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A97152                                                          | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19047 | PA      | $19049.19     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      30000 | NC      | $4797.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2052#CB3239                                                   | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871991 | PA      | $769876.64    | 0.12%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/29 #499333                                                          | CUSIP: 36210QV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $42.58        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 11/28 #C00680                                                         | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        648 | PA      | $662.55       | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21255                                                 | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15960 | PA      | $15398.20     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 07/20/2044#MA2074                                                   | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60715 | PA      | $58345.34     | 0.01%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2050#SD0517                                                   | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     587576 | PA      | $516014.34    | 0.08%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#SD0785                                                   | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22350 | PA      | $18092.29     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 06/01/2027#                                                       | CUSIP: 31292GSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $251.94       | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 11/01/2041#QK1167                                                 | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80534 | PA      | $72151.52     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/28 #462554                                                          | CUSIP: 36208VZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $100.39       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 5/29 #486378                                                          | CUSIP: 36210AJX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        949 | PA      | $971.71       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                        | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                           | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      72720 | PA      | $72332.82     | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2041#A97673                                                 | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9836 | PA      | $9836.80      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2016-P4                             | CITIGROUP COML MTG TR 2016-P4 A4 2.902% 07/10/2049                               | CUSIP: 29429EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3644000 | PA      | $3581569.53   | 0.54%             | 2049-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 01/01/2036#MA4228                                                 | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1025013 | PA      | $921054.20    | 0.14%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                   | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $991835.60    | 0.15%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                               | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $399875.00    | 0.06%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 01/01/2052#SL0417                                                   | CUSIP: 31427MPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     535880 | PA      | $469609.18    | 0.07%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2052#FA2411                                                 | CUSIP: 3140W2VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1450837 | PA      | $1230233.90   | 0.18%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 12/15/2041#792596                                                   | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1620 | PA      | $1569.30      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 3.805 11/05/29                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3900000 | NC      | $116435.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                               | GSAMP 2004-AR1 B4 STEP 6/34                                                      | CUSIP: 36228F6Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      10808 | PA      | $8562.96      | 0.00%             | 2034-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 11/42 #AQ0206                                                         | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15091 | PA      | $14198.96     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/29 #510100                                                          | CUSIP: 36211DUZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.30        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/48#ZA5379                                                        | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347412 | PA      | $330231.17    | 0.05%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2043#AB9858                                                 | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590309 | PA      | $539400.19    | 0.08%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 04/01/2052#SL0413                                                 | CUSIP: 31427MN72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422574 | PA      | $357132.33    | 0.05%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 3/26 #D96943                                                     | CUSIP: 3128E3WC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $212.10       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2051#SD8142                                                   | CUSIP: 3132DWBK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57706 | PA      | $50533.88     | 0.01%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 11/29 #509256                                                         | CUSIP: 36211CWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        685 | PA      | $710.11       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 02/01/2032#                                                       | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73524 | PA      | $78307.90     | 0.01%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 11/01/2054#CB9500                                                   | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112502 | PA      | $116975.61    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 03/01/2041#MA4286                                                 | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133181 | PA      | $111285.56    | 0.02%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4% 09/01/2055 #TBA                                                     | CUSIP: 01F040693<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12700000 | PA      | $11853167.81  | 1.77%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2051#FM7484                                                 | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1917326 | PA      | $1627589.70   | 0.24%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                       | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      88817 | PA      | $91266.58     | 0.01%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 1.5% 05/01/2051#BT0518                                                 | CUSIP: 3140LNSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89293 | PA      | $67770.46     | 0.01%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 11/42 #AQ0170                                                         | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13893 | PA      | $13048.00     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CY885802 12/15/56 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $50440.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5% 01/20/2055#MB0146                                                     | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10478401 | PA      | $10369413.46  | 1.55%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 12/28 #780977                                                         | CUSIP: 36225BCN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        453 | PA      | $459.83       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/30 #535486                                                          | CUSIP: 31384V2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $91.23        | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 09/01/2053#CB7123                                                   | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252408 | PA      | $260157.03    | 0.04%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/28 #465701                                                          | CUSIP: 36209AKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $40.71        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17646                                                 | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     276498 | PA      | $260509.74    | 0.04%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 10/15/2041#775540                                                   | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14023 | PA      | $13560.08     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 11/39 #704775                                                         | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32773 | PA      | $33278.18     | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                     | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                      | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     355000 | PA      | $358019.63    | 0.05%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H13 FA TSFR1M+61.448 4/61                                               | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       5602 | PA      | $5603.53      | 0.00%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2042#794507                                                 | CUSIP: 36177PAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40576 | PA      | $37019.13     | 0.01%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     700000 | NC      | $-9395.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 08/15/2043#AD5682                                                   | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5220 | PA      | $5026.99      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/41 #489861                                                          | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4534 | PA      | $4383.08      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 02/01/2054#SD5078                                                 | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5493020 | PA      | $5754505.65   | 0.86%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2040#A95150                                                   | CUSIP: 312943WK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471753 | PA      | $459596.03    | 0.07%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                        | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                              | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     234000 | PA      | $236207.91    | 0.04%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                 | DLLAD LLC 4.42% 09/20/2030 144A                                                  | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $403373.64    | 0.06%             | 2030-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2052#FA1625                                                   | CUSIP: 3140W1YX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612041 | PA      | $536542.83    | 0.08%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                     | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      66357 | PA      | $55978.42     | 0.01%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 3/42 #733812                                                          | CUSIP: 3620AMGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9969 | PA      | $9352.95      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#FS7527                                                   | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358549 | PA      | $290139.00    | 0.04%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2050#MA4184                                                   | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105664 | PA      | $92596.68     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 2.90% 5/34 #781630                                                      | CUSIP: 31349SY31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        309 | PA      | $315.45       | 0.00%             | 2034-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 01/01/2044#V80950                                                 | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11677 | PA      | $11257.68     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                 | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21900 | PA      | $20316.74     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 06/01/2042#AB5379                                                 | CUSIP: 31417B6R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14123 | PA      | $13334.49     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 06/01/2054#CB8711                                                   | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1937627 | PA      | $1984401.17   | 0.30%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/45#C09071                                                   | CUSIP: 31292SCG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1316 | PA      | $1266.77      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #468965                                                          | CUSIP: 36209D6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4784 | PA      | $4863.85      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #733726                                                          | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221961 | PA      | $225467.63    | 0.03%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2011-67 AI IO 4% 7/26                                                        | CUSIP: 31397U4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         48 | PA      | $0.01         | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                     | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                      | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     245000 | PA      | $246507.12    | 0.04%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 02/01/2035#                                                         | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35424 | PA      | $34695.71     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5% 12/20/2054#787773                                                     | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     821846 | PA      | $814389.20    | 0.12%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#SD0786                                                   | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18803 | PA      | $15221.20     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.5% 05/20/2055#MB0368                                                   | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4091340 | PA      | $4214134.02   | 0.63%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                          | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      89022 | PA      | $82397.93     | 0.01%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 10/01/2050#SD0450                                                 | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1136097 | PA      | $958380.45    | 0.14%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-1 LLC                          | ENTERPRISE FLEET FING 2023-1 LLC 5.51% 01/22/2029 144A                           | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     754204 | PA      | $756204.83    | 0.11%             | 2029-01-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4.5% 05/20/2041#783578                                                   | CUSIP: 36241L6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1853 | PA      | $1843.52      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                   | MNGT SWAP CZ030007 12/17/57 B                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $11792.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 07/51#QC4163                                                        | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135571 | PA      | $109662.22    | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.869% 5/36 #995608                                                     | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $1022.63      | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/27 #451439                                                          | CUSIP: 36208HPY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.41        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                          | WHEELS FLEET LEASE FUNDING 1 LLC 4.57% 01/18/2040 144A                           | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    2400000 | PA      | $2418297.36   | 0.36%             | 2040-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02067                                                 | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8262 | PA      | $8401.23      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2043#Q19744                                                 | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15818 | PA      | $15399.34     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 11/01/2054#CB9502                                                   | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812998 | PA      | $842785.89    | 0.13%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 03/01/2033#BK4845                                                   | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28872 | PA      | $28145.58     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CZ030005 12/17/57 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     600000 | NC      | $-400.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 07/01/2036#MA2672                                                   | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22723 | PA      | $21681.03     | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 7/33 #A11628                                                          | CUSIP: 31296KYZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5825 | PA      | $5828.59      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046                                     | CUSIP: 3136BASY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     404282 | PA      | $368507.08    | 0.06%             | 2046-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                         | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                          | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     152544 | PA      | $153301.29    | 0.02%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3036                                                   | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217698 | PA      | $175822.20    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 02/01/2042#RB5145                                                   | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411151 | PA      | $353672.61    | 0.05%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 11/20/2054#MB0024                                                   | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9450661 | PA      | $9106706.67   | 1.36%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 08/20/2048#MA5398                                                     | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1123235 | PA      | $1066811.91   | 0.16%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AU2287                                                   | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8029 | PA      | $7409.69      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 02/01/2031#FS1234                                                   | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88818 | PA      | $87133.55     | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #743475                                                          | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10457 | PA      | $10622.34     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 07/01/2033#709252                                                   | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19066 | PA      | $19299.69     | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 05/01/2041#CB0471                                                 | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93942 | PA      | $84439.36     | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22486                                                 | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10354 | PA      | $10039.14     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                  | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     508000 | PA      | $508000.00    | 0.08%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 05/50#FM3269                                                        | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139868 | PA      | $123313.61    | 0.02%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 03/01/2041#CA9362                                                 | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103912 | PA      | $93684.98     | 0.01%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 09/01/2031#                                                       | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1616 | PA      | $1711.87      | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2029#                                                         | CUSIP: 31293TF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.68        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2044#Q24971                                                 | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8605 | PA      | $8338.51      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                          | ENTERPRISE FLEET FING 2022-3 LLC 4.29% 07/20/2029 144A                           | CUSIP: 29374FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     315000 | PA      | $315019.25    | 0.05%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#QD3433                                                   | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141725 | PA      | $114462.99    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AR3062                                                   | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11857 | PA      | $10941.78     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #719230                                                          | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23549 | PA      | $23464.35     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2052#RA6799                                                 | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167946 | PA      | $153190.82    | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                 | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                   | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      17755 | PA      | $17612.11     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 10/01/2036#SB8122                                                 | CUSIP: 3132D6AX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176889 | PA      | $158229.72    | 0.02%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.08% 6/33 #1B0891                                                      | CUSIP: 31336SRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13549 | PA      | $13929.48     | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96695                                                          | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14959 | PA      | $14942.27     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 7/41 #768127                                                          | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6319 | PA      | $6139.48      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036                        | CUSIP: 31396LZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      12647 | PA      | $1273.95      | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2044#Q28059                                                 | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4136 | PA      | $3988.55      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2052#FS1647                                                   | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954048 | PA      | $901202.19    | 0.13%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.5% 05/31/2029                                                        | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     210000 | PA      | $216349.22    | 0.03%             | 2029-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 10/01/2041#RB5132                                                 | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204034 | PA      | $181907.34    | 0.03%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/29 #509410                                                          | CUSIP: 36211C3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $117.51       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2121 MG 6% 2/29                                                              | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7366 | PA      | $7522.31      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 3/37 #A58828                                                          | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1265 | PA      | $1353.84      | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3.5% 08/01/2034#CA4087                                                 | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198099 | PA      | $194248.22    | 0.03%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 05/01/2044#AS9099                                                   | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10885 | PA      | $11046.80     | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 5.5% 03/20/2054#787292                                                   | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1017986 | PA      | $1033886.07   | 0.15%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 8/34 #G08018                                                          | CUSIP: 3128MJAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4731 | PA      | $5083.11      | 0.00%             | 2034-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 06/01/2050#RA2677                                                   | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1904496 | PA      | $1541720.91   | 0.23%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 4.01 05/07/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    1900000 | NC      | $64393.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 05/15/2041#770680                                                 | CUSIP: 36176M6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65940 | PA      | $64416.59     | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 01/01/2052#SD7549                                                   | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117459 | PA      | $95121.54     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 1.5% 06/01/2051#CB0788                                                 | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132124 | PA      | $101474.99    | 0.02%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2052#FA2214                                                 | CUSIP: 3140W2N80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3837070 | PA      | $3240445.49   | 0.48%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/40 #733255                                                          | CUSIP: 3620ALTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7944 | PA      | $7925.59      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 06/20/2045#MA2893                                                   | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1093184 | PA      | $1048433.13   | 0.16%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 10/01/2052#SD1733                                                   | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594990 | PA      | $594364.71    | 0.09%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                       | BMO 2025-5C9 XA MTG TR VAR 12/15/2057                                            | CUSIP: 096933AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2999436 | PA      | $86622.80     | 0.01%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4% 09/01/2055 #TBA                                                     | CUSIP: 01F040693<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -12700000 | PA      | $-11853167.81 | -1.77%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q34164                                                 | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040452 | PA      | $972139.18    | 0.15%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2046#Q40046                                                 | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447058 | PA      | $414703.77    | 0.06%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 10/01/2055 #TBA                                                       | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1075000 | PA      | $1002237.66   | 0.15%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5% 09/01/2055 #TBA                                                     | CUSIP: 01F050692<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1150000 | PA      | $-1134142.54  | -0.17%            | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 05/01/2035#SB8045                                                 | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519501 | PA      | $491863.47    | 0.07%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#MA4562                                                   | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5062299 | PA      | $4037900.29   | 0.60%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/01/2040#A94862                                                 | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68904 | PA      | $68912.71     | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 09/01/2055 #TBA                                                       | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -18100000 | PA      | $-16033237.02 | -2.40%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/32 #654060                                                          | CUSIP: 31390RTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4953 | PA      | $5312.63      | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                 | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355641 | PA      | $335516.25    | 0.05%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#FS0002                                                   | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122269 | PA      | $107186.90    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2049#CA4628                                                   | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50724 | PA      | $48120.09     | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS6968                                                   | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23667 | PA      | $21841.36     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 09/01/2055 #TBA                                                       | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2150000 | PA      | $-2004979.06  | -0.30%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                 | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123533 | PA      | $114754.99    | 0.02%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 05/01/2046#V82275                                                   | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     492493 | PA      | $442312.19    | 0.07%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2135 JE 6% 3/29                                                              | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7657 | PA      | $7834.77      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 06/01/2031#J34501                                                 | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28257 | PA      | $27391.49     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22499                                                 | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29839 | PA      | $28832.10     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16                                            | CFMT 2025-HB16 A VAR 03/25/2035 144A                                             | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      87801 | PA      | $86288.37     | 0.01%             | 2035-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#CB2166                                                   | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729895 | PA      | $639631.49    | 0.10%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 06/01/2050#SD7518                                                   | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     952370 | PA      | $841438.09    | 0.13%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2015-70 JC 3% 10/45                                                          | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     191473 | PA      | $183085.83    | 0.03%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 11/41 #005232                                                      | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181218 | PA      | $170078.42    | 0.03%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047     | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     144993 | PA      | $127681.32    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2             | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A              | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     153000 | PA      | $154684.79    | 0.02%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                   | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          2 | PA      | $0.00         | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 04/01/2041#CB0116                                                   | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46941 | PA      | $41071.25     | 0.01%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                               | MSC 2021-L6 XA 1.35631% 06/15/2054                                               | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1028309 | PA      | $41349.33     | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK1110                                                          | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14692 | PA      | $14233.72     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 09/01/2050#FM4342                                                 | CUSIP: 3140X7ZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4787101 | PA      | $4059212.06   | 0.61%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1% 01/25/2051                                     | CUSIP: 3137F85N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     389834 | PA      | $301041.53    | 0.04%             | 2051-01-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                            | BANK 2017-BNKS 3.39% 06/15/2060                                                  | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1519217 | PA      | $1496343.97   | 0.22%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 05/01/2053#SD2891                                                 | CUSIP: 3132DQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840347 | PA      | $853362.36    | 0.13%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/48#BJ1074                                                      | CUSIP: 3140H2FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5129 | PA      | $5021.83      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 05/01/2052#MA4644                                                   | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42505 | PA      | $39858.41     | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                        | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                        | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      87105 | PA      | $85396.70     | 0.01%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 08/01/2049#MA3744                                                   | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111949 | PA      | $977565.01    | 0.15%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIM 2025-NR1                                              | CIM 2025-NR1 5% 06/25/2064 144A                                                  | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1048555 | PA      | $1023302.37   | 0.15%             | 2064-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 09/01/2055 #TBA                                                     | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     875000 | PA      | $894003.95    | 0.13%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1548384 | PA      | $1551252.93   | 0.23%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#                                                       | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3217 | PA      | $3221.64      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                 | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77644 | PA      | $78385.61     | 0.01%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 11/25/2053                            | CUSIP: 3137HAXC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2456571 | PA      | $2474700.50   | 0.37%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         99 | PA      | $98.63        | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 10/20/44#MA2305                                                     | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2011 | PA      | $1988.63      | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2052#CB2679                                                 | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74986 | PA      | $68397.58     | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 4/35 #003700                                                       | CUSIP: 36202EDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6333 | PA      | $6317.67      | 0.00%             | 2035-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19988                                                 | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10000 | PA      | $9650.17      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9300000 | PA      | $9021726.52   | 1.35%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 12/01/2051#RA6434                                                 | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1162957 | PA      | $976677.99    | 0.15%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 12/20/2054#787741                                                   | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1017451 | PA      | $1035568.78   | 0.15%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97661                                                          | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44906 | PA      | $44910.98     | 0.01%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                            | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     694360 | PA      | $692819.93    | 0.10%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP REC 4.146 07/30/30                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     850000 | NC      | $30836.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 1/41 #004922                                                       | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     750246 | PA      | $727177.88    | 0.11%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-118 S SOFR30A+798.552 12/33                                             | CUSIP: 31393UNH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      21609 | PA      | $2741.23      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 11/01/2052#SD1862                                                   | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588438 | PA      | $589107.41    | 0.09%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 10/01/2055 #TBA                                                   | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -600000 | PA      | $-576679.68   | -0.09%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 07/20/2043#MA1157                                                   | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5258 | PA      | $4911.62      | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $13293.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2114 ZM 6% 1/29                                                              | CUSIP: 3133THQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2502 | PA      | $2556.01      | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #476120                                                          | CUSIP: 36209M4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        228 | PA      | $232.14       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2051#CB2189                                                   | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35558 | PA      | $33791.36     | 0.01%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.50% 7/34 #G02115                                                          | CUSIP: 3128LXK41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29553 | PA      | $30848.86     | 0.00%             | 2034-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2015-H13 HA 2.5% 08/64                                                       | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       1125 | PA      | $1058.25      | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 04/01/2042#MA4587                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254464 | PA      | $1115256.64   | 0.17%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 08/01/2055#RJ4672                                                 | CUSIP: 3142GVFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     421251 | PA      | $405764.42    | 0.06%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                              | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                               | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      91538 | PA      | $91594.79     | 0.01%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/41 #772063                                                          | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45615 | PA      | $44185.66     | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2045#Q34467                                                 | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34783 | PA      | $33488.21     | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 1.5% 02/01/2051#MA4254                                                 | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1911159 | PA      | $1450501.71   | 0.22%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 09/01/2049#RA1293                                                   | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9803 | PA      | $8691.55      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.75% MAC 09/17/29                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -17114000 | NC      | $-197624.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2048#G61821                                                 | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598351 | PA      | $585983.57    | 0.09%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AB3872                                                         | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93195 | PA      | $90592.06     | 0.01%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 05/01/2052#FS9743                                                 | CUSIP: 3140XRZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1630011 | PA      | $1373505.14   | 0.21%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 06/01/2054#SD5521                                                 | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260911 | PA      | $275227.37    | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/32 #648177                                                          | CUSIP: 31390KCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $342.28       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 10/01/2031#AS8226                                                 | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142456 | PA      | $137583.97    | 0.02%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 09/01/2055 #TBA                                                   | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5850000 | PA      | $5626968.75   | 0.84%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 09/01/2053#QH0277                                                 | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81169 | PA      | $85445.54     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745138                                                          | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82681 | PA      | $82399.55     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 01/01/2045#AY0356                                                 | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215019 | PA      | $206617.13    | 0.03%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AT2645                                                   | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6314 | PA      | $5819.35      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/01/2035#FM2518                                                 | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240034 | PA      | $227639.07    | 0.03%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 10/01/2051#FM8864                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416824 | PA      | $353184.35    | 0.05%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 11/39 #A89870                                                         | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6630 | PA      | $6635.05      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 02/01/2035#QN1578                                                 | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269224 | PA      | $255322.25    | 0.04%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                 | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                  | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     155296 | PA      | $157214.23    | 0.02%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 1.5% 06/01/2051#MA4354                                                 | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604556 | PA      | $458836.70    | 0.07%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                          | MORGAN STANLEY CAP I TR 2018-BOP A TSFR1M+89.7 06/15/2035 144A                   | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     723006 | PA      | $590696.22    | 0.09%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #733234                                                          | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4422 | PA      | $4403.73      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 06/44#MA1997                                                        | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2291 | PA      | $2275.66      | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2034#FM0046                                                   | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231750 | PA      | $223736.62    | 0.03%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/01/2051#RA5288                                                   | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190657 | PA      | $152969.67    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3244 SG SOFR30A+654.552 11/36                                                | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      34387 | PA      | $3193.62      | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 3/41 #004977                                                       | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40278 | PA      | $39032.93     | 0.01%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                              | CARMX 2025-2 4.59% 07/17/2028                                                    | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     830000 | PA      | $833120.14    | 0.12%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 02/20/2044#MA1677                                                   | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2310 | PA      | $2149.62      | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 11/46#MA4126                                                          | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575113 | PA      | $516569.05    | 0.08%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                            | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                   | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     200000 | PA      | $201702.42    | 0.03%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#FM6195                                                   | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040708 | PA      | $921112.55    | 0.14%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#BE5877                                                 | CUSIP: 3140FRQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51994 | PA      | $48120.81     | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     683366 | PA      | $686122.35    | 0.10%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 06/01/2052#SD1082                                                   | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143726 | PA      | $125861.90    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/51#RA5117                                                        | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3793733 | PA      | $3061605.16   | 0.46%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 8/41 #005139                                                       | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7509 | PA      | $7267.94      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468000 | PA      | $466793.68    | 0.07%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP 04/17/65 B                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     360000 | NC      | $57567.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 07/01/2054#CB8867                                                 | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3887767 | PA      | $4093794.58   | 0.61%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP PAY 4.146 07/30/30                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     850000 | NC      | $29397.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#CB5128                                                   | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976063 | PA      | $977173.15    | 0.15%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 04/15/2048                                     | CUSIP: 3137H8HT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     595596 | PA      | $591118.50    | 0.09%             | 2048-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3.25% 07/25/2046                                  | CUSIP: 3136BMGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     467371 | PA      | $447155.88    | 0.07%             | 2046-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                          | CSMC SER 2014-3R VAR 05/27/2037                                                  | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      72121 | PA      | $7.21         | 0.00%             | 2037-05-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.679% 02/01/2039#AL8741                                               | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19015 | PA      | $19754.70     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-17 PG 6% 4/29                                                           | CUSIP: 31359VSD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      13261 | PA      | $13465.28     | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 10/34 #A45794                                                         | CUSIP: 3128K6NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11640 | PA      | $12038.11     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2052#QE0436                                                 | CUSIP: 3133B9PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1098828 | PA      | $993360.47    | 0.15%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3% 09/01/2055 #TBA                                                     | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    6500000 | PA      | $5631640.30   | 0.84%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 2/37 #908771                                                          | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1967 | PA      | $2093.90      | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 06/01/2051#FM7507                                                 | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3080857 | PA      | $2611443.28   | 0.39%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 07/01/2053#RA9383                                                   | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405283 | PA      | $419119.03    | 0.06%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 03/01/2032#                                                       | CUSIP: 31287P6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2099 | PA      | $2196.11      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                               | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                  | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59498 | PA      | $59479.05     | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2024-B                           | TOYOTA LEASE OWNER TRUST 2024-B A3 4.21% 09/20/2027 144A                         | CUSIP: 891943AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1301014.78   | 0.19%             | 2027-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIE MAE 4.5% 07/25/2048                                                       | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     706556 | PA      | $703007.89    | 0.11%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 12/01/2032#J38057                                                   | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75231 | PA      | $73367.03     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/35 #830779                                                          | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3184 | PA      | $3385.83      | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR3124                                                   | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15724 | PA      | $14510.47     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2046#BM4548                                                 | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119657 | PA      | $119539.78    | 0.02%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 06/15/2041#770824                                                 | CUSIP: 36176ND57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89272 | PA      | $86536.65     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                 | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190177 | PA      | $176662.66    | 0.03%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5% 06/20/2055#MB0423                                                     | CUSIP: 3618N5PH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497943 | PA      | $492764.07    | 0.07%             | 2055-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 351 12 5.5% 4/34                                                             | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6769 | PA      | $1018.95      | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 05/01/2034#C91764                                                 | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112414 | PA      | $110098.96    | 0.02%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                          | BANK5 2025-5YR14 XB CSTR 04/15/2058                                              | CUSIP: 06604MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13100000 | PA      | $183280.79    | 0.03%             | 2058-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 10/28 #490635                                                         | CUSIP: 36210FBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $220.95       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3832 PE 5% 3/41                                                              | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     141165 | PA      | $143653.68    | 0.02%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 10/35 #835556                                                         | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6629 | PA      | $7050.30      | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #C03856                                                          | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26482 | PA      | $25760.68     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                 | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14997 | PA      | $13931.15     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 03/31/2031                                                      | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     890000 | PA      | $905714.06    | 0.14%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 12/01/2040#MA4204                                                   | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14821 | PA      | $12882.71     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745192                                                          | CUSIP: 3620C02Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85016 | PA      | $84726.75     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2051#CB2460                                                   | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21001 | PA      | $19949.49     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/01/2047#Q52082                                                 | CUSIP: 3132XUJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20064 | PA      | $19610.87     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 09/01/2055 #TBA                                                       | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -14500000 | PA      | $-11870001.60 | -1.77%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2051#FM6560                                                   | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17241 | PA      | $13838.71     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.91% 3/36 #865849                                                      | CUSIP: 31409A5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5574 | PA      | $5749.17      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP5129                                                          | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33575 | PA      | $31666.17     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745068                                                          | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27179 | PA      | $27087.51     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/01/2045#G61807                                                   | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58231 | PA      | $56676.34     | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/35#BO9279                                                      | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105005 | PA      | $99615.82     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#QD3432                                                   | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136990 | PA      | $109954.20    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 03/01/2054#CB8113                                                 | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395378 | PA      | $410740.08    | 0.06%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 05/20/2052#MA8042                                                   | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3149999 | PA      | $2684535.53   | 0.40%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 10/01/2052#CB4893                                                   | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694404 | PA      | $693674.96    | 0.10%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2947 XZ 6% 3/35                                                              | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      56756 | PA      | $58711.82     | 0.01%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4.5% 04/20/2053#MA8799                                                   | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1923203 | PA      | $1864928.65   | 0.28%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                 | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                      | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     496379 | PA      | $491290.90    | 0.07%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 12/01/2032#SB0030                                                   | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192695 | PA      | $188275.69    | 0.03%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 03/20/2046#MA3523                                                   | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3546 | PA      | $3517.51      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/39 #G08368                                                         | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550212 | PA      | $550575.77    | 0.08%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18481                                                 | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13580 | PA      | $13120.77     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 10/01/2031#AS8010                                                 | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31929 | PA      | $30859.67     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.29% 3/36 #1G1852                                                      | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18517 | PA      | $18991.11     | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 08/35#MA4095                                                        | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380573 | PA      | $352414.89    | 0.05%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                      | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      19312 | PA      | $18045.98     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 03/01/2055#CC0136                                                 | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479786 | PA      | $505548.68    | 0.08%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CY873248 04/17/65 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     270000 | NC      | $43175.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/41 #Q00753                                                          | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19810 | PA      | $19796.29     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP REC 4.01 12/20/29                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    2000000 | NC      | $68099.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                     | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                      | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1567256 | PA      | $1385821.44   | 0.21%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#FS3863                                                   | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546993 | PA      | $442800.01    | 0.07%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 12/20/2054#MB0092                                                   | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293416 | PA      | $295729.71    | 0.04%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                    | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1544789 | PA      | $1520317.20   | 0.23%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03358                                                          | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27747 | PA      | $27012.48     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                              | WESTF 2025-A 5.582% 06/15/2050 144A                                              | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     353051 | PA      | $358400.83    | 0.05%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                           | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     868159 | PA      | $914776.87    | 0.14%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2041#A96051                                                 | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128680 | PA      | $128711.35    | 0.02%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2039#                                                       | CUSIP: 312933CQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6867 | PA      | $6871.15      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q20358                                                 | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8896 | PA      | $8583.55      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/51#BQ1010                                                        | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236817 | PA      | $191040.92    | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #737007                                                          | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20484 | PA      | $20419.19     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-21 SK SOFR30A+798.552 3/33                                              | CUSIP: 31392JY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       4362 | PA      | $484.17       | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/27 #256630                                                          | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        568 | PA      | $571.79       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                              | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                               | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     241000 | PA      | $241506.73    | 0.04%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 02/01/2041#                                                         | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15803 | PA      | $13716.27     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                           | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     921637 | PA      | $808487.64    | 0.12%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 01/01/2042#RB5142                                                 | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417392 | PA      | $371401.90    | 0.06%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                        | JPSW SWAP PAY 3.837 07/22/26                                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    2850000 | NC      | $65997.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                   | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2416945 | PA      | $2098397.39   | 0.31%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2032#BM5109                                                   | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559149 | PA      | $546325.23    | 0.08%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                   | UBSCM 2017-C7 XA CSTR 12/50                                                      | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5043921 | PA      | $94393.96     | 0.01%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2052#CB3313                                                   | CUSIP: 3140QNVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2308761 | PA      | $2172939.01   | 0.32%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 04/01/2036#MA4302                                                 | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14799 | PA      | $13275.28     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2046#Q40085                                                 | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86941 | PA      | $80757.64     | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/41 #Q01208                                                          | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13919 | PA      | $13927.60     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 02/01/2042#BU1292                                                   | CUSIP: 3140M2NJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597082 | PA      | $513428.77    | 0.08%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 02/01/2052#CB2765                                                   | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1044198 | PA      | $836485.38    | 0.12%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     140000 | NC      | $22387.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#FS0898                                                   | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633204 | PA      | $554501.95    | 0.08%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2048#ZM6780                                                   | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358682 | PA      | $340382.94    | 0.05%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.75% MAC 09/17/27                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -34107000 | NC      | $-161571.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #739706                                                          | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16602 | PA      | $16865.42     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 07/01/2048#Q59935                                                   | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117884 | PA      | $112897.65    | 0.02%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 11/01/2050#RA3913                                                 | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1241820 | PA      | $1052998.17   | 0.16%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 12/01/2030#ZS8591                                                   | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26727 | PA      | $26165.01     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/28 #476306                                                          | CUSIP: 36209NDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $65.38        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/40 #A94662                                                         | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13885 | PA      | $13876.64     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 09/20/2051#785619                                                   | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1105167 | PA      | $933399.31    | 0.14%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 06/01/2029#                                                         | CUSIP: 31293R3X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        978 | PA      | $999.43       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 06/01/2053#CB6642                                                 | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397148 | PA      | $405161.40    | 0.06%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4% 10/01/2055 #TBA                                                     | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7400000 | PA      | $6903968.38   | 1.03%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 11/01/2034#FS1799                                                   | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51499 | PA      | $50415.80     | 0.01%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-150 ZC 4.75% 01/41                                                      | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     215127 | PA      | $213057.84    | 0.03%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 03/01/2050#MA3964                                                 | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479778 | PA      | $403828.47    | 0.06%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 12/01/2032#FM1681                                                 | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1951508 | PA      | $1884692.90   | 0.28%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                   | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         16 | PA      | $0.16         | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AT1323                                                   | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13373 | PA      | $12340.83     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/40 #004696                                                       | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10422 | PA      | $10371.15     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2046#Q40647                                                 | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124275 | PA      | $115281.00    | 0.02%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US ULTRA BOND CBT FUT DEC25 WNZ5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -5 | NC      | $2177.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2052#                                                       | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216923 | PA      | $197390.58    | 0.03%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 01/01/2052#CB2610                                                   | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64177 | PA      | $51410.86     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                    | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                     | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $402607.40    | 0.06%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 02/01/2052#CB2838                                                   | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55261 | PA      | $44683.13     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                              | AJAXM 2021-C 5.115% 01/25/2061 144A                                              | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     145378 | PA      | $145501.25    | 0.02%             | 2061-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                          | GMF FLOORPLAN OWNER REVOLVING TR 4.59% 03/15/2029 144A                           | CUSIP: 361886DV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     235000 | PA      | $236456.37    | 0.04%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                 | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522695 | PA      | $469681.98    | 0.07%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 12/29 #495064                                                         | CUSIP: 36210K5Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        356 | PA      | $369.61       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13654                                                 | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10212 | PA      | $9886.95      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 11/01/2041#MA4475                                                 | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277292 | PA      | $247205.46    | 0.04%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 11/15/2042#AB9201                                                   | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5828 | PA      | $5633.24      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                   | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     324425 | PA      | $331667.83    | 0.05%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                 | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451056 | PA      | $425022.15    | 0.06%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 07/01/2041#CB1074                                                 | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95501 | PA      | $85687.55     | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2052#CB3114                                                   | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014839 | PA      | $894728.48    | 0.13%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 09/01/2054#SD6620                                                 | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310040 | PA      | $327148.53    | 0.05%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                 | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                  | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |      74348 | PA      | $75335.52     | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6.5% 02/01/2055#RJ3572                                                 | CUSIP: 3142GT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     518125 | PA      | $547606.87    | 0.08%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 4/32 #C01343                                                          | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        903 | PA      | $943.65       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                            | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     192848 | PA      | $161469.27    | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2047#FS1789                                                 | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477107 | PA      | $449778.27    | 0.07%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.264% 08/01/2041#AL6552                                               | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70393 | PA      | $71284.47     | 0.01%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 10/01/2051#QC9148                                                 | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296251 | PA      | $248983.56    | 0.04%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 01/01/2054#SD4623                                                 | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1287965 | PA      | $1349275.91   | 0.20%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 03/01/2041#RB5104                                                 | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133450 | PA      | $111586.51    | 0.02%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 10/45#MA3174                                                        | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3892 | PA      | $3728.12      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                            | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                        | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     411000 | PA      | $410999.84    | 0.06%             | 2030-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 07/01/2054#FS8456                                                 | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652973 | PA      | $662882.57    | 0.10%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 5% 04/48#784805                                                          | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108855 | PA      | $110452.75    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 01/01/2055#CB9828                                                 | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280261 | PA      | $295310.22    | 0.04%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2            | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                  | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      50000 | PA      | $50268.94     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 11/01/2041#FS0106                                                   | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     712313 | PA      | $614211.01    | 0.09%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2029#                                                         | CUSIP: 31293TGN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $93.12        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#FM2286                                                   | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444554 | PA      | $429182.57    | 0.06%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY873245 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     899941 | NC      | $7435.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 10/41 #005202                                                      | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4762 | PA      | $4468.89      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 04/01/2054#SD5961                                                   | CUSIP: 3132DTTS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104676 | PA      | $104795.39    | 0.02%             | 2054-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 03/01/2052#FA2410                                                 | CUSIP: 3140W2VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1895471 | PA      | $1606667.86   | 0.24%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 09/01/2054#CB9149                                                   | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     657411 | PA      | $683347.26    | 0.10%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.417% 12/01/2040#848392                                                | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55799 | PA      | $57837.66     | 0.01%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2051#SD8184                                                   | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1085619 | PA      | $951364.04    | 0.14%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                          | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                           | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340000 | PA      | $341479.78    | 0.05%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 04/20/2044#MA1838                                                   | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2152 | PA      | $2001.03      | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 10/20/2050#MA6930                                                     | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4951215 | PA      | $4054916.54   | 0.61%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2357 ZB 6.5% 9/31                                                            | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      16525 | PA      | $17016.08     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                        | BX Trust 2025-ROIC VAR 03/15/2030 144A                                           | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1290965 | PA      | $1289351.85   | 0.19%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 05/01/2051#SD7540                                                 | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1087906 | PA      | $922147.81    | 0.14%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/41 #AE6390                                                          | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267745 | PA      | $260643.80    | 0.04%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/35 #255896                                                          | CUSIP: 31371MGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1818 | PA      | $1933.86      | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/48#G61343                                                        | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231983 | PA      | $221010.39    | 0.03%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 4/41 #Q00114                                                          | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16715 | PA      | $16694.60     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6       | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050           | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63365 | PA      | $62777.25     | 0.01%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#FS3295                                                   | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2243556 | PA      | $2237693.88   | 0.33%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                    | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189765 | PA      | $190121.29    | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/01/2051#CB1872                                                   | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111856 | PA      | $98057.63     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 09/01/2055 #TBA                                                     | CUSIP: 01F020695<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -115950000 | PA      | $-92062491.18 | -13.75%           | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 9/36 #C02622                                                          | CUSIP: 31292J4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50934 | PA      | $53771.72     | 0.01%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2042#AP8794                                                 | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5809 | PA      | $5471.59      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                           | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                  | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4783600 | PA      | $143889.72    | 0.02%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15107                                                 | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7411 | PA      | $7159.33      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 08/01/2034#C91782                                                 | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188901 | PA      | $184938.59    | 0.03%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/01/2039#AS3482                                                   | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6870 | PA      | $6695.41      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                   | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     218240 | PA      | $185452.97    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/01/2035#FM6733                                                 | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79173 | PA      | $76492.11     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 04/15/2043#AD7475                                                   | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3740 | PA      | $3622.99      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 03/15/2041#738107                                                   | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5822 | PA      | $5651.56      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AC2222                                                 | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63498 | PA      | $58300.60     | 0.01%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/32 #648596                                                          | CUSIP: 31390KRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $292.81       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 3/28 #399895                                                          | CUSIP: 36205TGC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269 | PA      | $272.43       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 03/01/2041#SC0136                                                   | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111109 | PA      | $96885.25     | 0.01%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 9/26 #G30299                                                     | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1347 | PA      | $1356.62      | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2047#AL9776                                                 | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276943 | PA      | $256052.23    | 0.04%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                             | DBJPM 2020-C9 1.926% 08/15/2053                                                  | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $356326.68    | 0.05%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CZ030007 12/17/57 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      50000 | NC      | $5896.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/39 #721187                                                          | CUSIP: 3620A7F42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1617 | PA      | $1641.89      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 7/33 #003426                                                       | CUSIP: 36202DYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5818 | PA      | $5719.22      | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 03/01/2040#FM6134                                                   | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17032 | PA      | $16139.19     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13121                                                 | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25858 | PA      | $25103.99     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2052#QD7533                                                   | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13744 | PA      | $13050.99     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/01/2043#G08546                                                   | CUSIP: 3128MJTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2794 | PA      | $2704.42      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #463389                                                          | CUSIP: 36208WXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        322 | PA      | $325.85       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 09/01/2050#QB3577                                                   | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443290 | PA      | $355664.67    | 0.05%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2013-133 IB 3% 04/32                                                         | CUSIP: 3136AHQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        454 | PA      | $2.04         | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 09/01/2033#                                                         | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20925 | PA      | $21800.99     | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #778681                                                         | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31078 | PA      | $30083.23     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3.0% 07/01/2035#MA2320                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5584 | PA      | $5350.68      | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                 | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548799 | PA      | $493138.40    | 0.07%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 6/41 #005082                                                       | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5426 | PA      | $5396.77      | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19690                                                 | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27844 | PA      | $27003.45     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 10/01/2055 #TBA                                                     | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10450000 | PA      | $10517704.51  | 1.57%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/46#AS7008                                                        | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18580 | PA      | $17152.28     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/40 #737191                                                          | CUSIP: 3620AQ7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27497 | PA      | $27932.29     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                  | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                     | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18262 | PA      | $18262.17     | 0.00%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP REC 3.9025 04/14/26                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    2040000 | NC      | $63422.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                     | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     228248 | PA      | $210648.79    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP PAY 3.9025 04/14/26                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    2040000 | NC      | $31710.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 11/01/2029#                                                       | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        901 | PA      | $940.49       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                   | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      62108 | PA      | $61720.65     | 0.01%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                   | MNGT SWAP CZ030007 12/17/57 B                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $23585.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2044#Q24546                                                 | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15770 | PA      | $15233.15     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT0648                                                    | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104161 | PA      | $97908.05     | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 12/01/2035#SB8078                                                 | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547445 | PA      | $491922.41    | 0.07%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                           | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     789909 | PA      | $832571.32    | 0.12%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 02/01/2051#SD8127                                                 | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2381742 | PA      | $1807657.72   | 0.27%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 07/01/2053#RA9382                                                   | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460808 | PA      | $476827.53    | 0.07%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS4758                                                   | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12644 | PA      | $11668.36     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                            | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     358911 | PA      | $330953.51    | 0.05%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 04/01/2032#J36729                                                   | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6201 | PA      | $6066.33      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#RA6506                                                   | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51505 | PA      | $41292.00     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.0% 12/20/2042#AA5872                                                   | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161527 | PA      | $148421.94    | 0.02%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5             | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 4.62% 11/15/2028                   | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1804313.88   | 0.27%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 11/20/2044#MA2372                                                   | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413933 | PA      | $397450.92    | 0.06%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 11/26 #C91010                                                    | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $296.81       | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 10/01/2050#CA7323                                                   | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909363 | PA      | $738417.63    | 0.11%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 05/01/2052#SL0225                                                 | CUSIP: 31427MHB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1200799 | PA      | $1014087.08   | 0.15%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                              | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                      | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831791 | PA      | $833870.88    | 0.12%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22677                                                 | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15618 | PA      | $15058.21     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #552554                                                         | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45460 | PA      | $44090.82     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 11/01/2036#CB2246                                                 | CUSIP: 3140QMP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199218 | PA      | $187125.34    | 0.03%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                          | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                            | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     794812 | PA      | $751297.61    | 0.11%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 09/01/2054#SD6419                                                   | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     725863 | PA      | $754500.23    | 0.11%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2052#RA6926                                                   | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43843 | PA      | $38393.58     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 04/01/2038#FM7607                                                   | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10271 | PA      | $9939.25      | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #484199                                                          | CUSIP: 36209W3G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $59.11        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                       | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                        | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     448017 | PA      | $449245.47    | 0.07%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AB2079                                                          | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323395 | PA      | $314833.80    | 0.05%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 05/15/2043#AD0793                                                 | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25677 | PA      | $23329.85     | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 6/35 #003722                                                       | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1136 | PA      | $1132.70      | 0.00%             | 2035-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 03/01/2042#MA4570                                                   | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1733966 | PA      | $1490365.41   | 0.22%             | 2042-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/32 #646424                                                          | CUSIP: 31390HD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        438 | PA      | $466.16       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                             | DLLAA 2023-1A 5.93% 07/20/2026 144A                                              | CUSIP: 23292HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         28 | PA      | $27.96        | 0.00%             | 2026-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4645                                                         | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14045 | PA      | $13710.22     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 12/40 #004881                                                      | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2209 | PA      | $2079.84      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2047#CA0257                                                 | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145783 | PA      | $135241.37    | 0.02%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 08/01/2032#J37406                                                   | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13618 | PA      | $13300.49     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 02/20/2051#MA7192                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     538945 | PA      | $441465.96    | 0.07%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                           | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249523 | PA      | $264344.53    | 0.04%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/01/2048#ZM8154                                                   | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40369 | PA      | $38335.12     | 0.01%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 07/01/2055#CC0730                                                   | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1896540 | PA      | $1946767.04   | 0.29%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2046#AS9183                                                   | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5913 | PA      | $5457.19      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP REC 3.804 08/25/26                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     880000 | NC      | $26450.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 08/01/2041#RB5122                                                 | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534147 | PA      | $476479.70    | 0.07%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                            | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     688619 | PA      | $687977.56    | 0.10%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2004-73 AL TSFR1M+708.552 8/34                                               | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       9370 | PA      | $909.30       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 02/01/2028#FS3865                                                   | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88947 | PA      | $87015.92     | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/35 #255816                                                          | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        670 | PA      | $712.05       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/41 #Q01393                                                          | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32370 | PA      | $32388.39     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                     | CUSIP: 3137H6UX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     379972 | PA      | $351612.51    | 0.05%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK9701                                                          | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25077 | PA      | $24324.05     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#BU5834                                                   | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203665 | PA      | $163279.19    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 06/20/2043#MA1092                                                   | CUSIP: 36179NF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1823 | PA      | $1813.49      | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 12/01/2031#AS8511                                                 | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260144 | PA      | $251060.52    | 0.04%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                   | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                         | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     843123 | PA      | $844175.54    | 0.13%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#CB2320                                                 | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695456 | PA      | $586885.40    | 0.09%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 06/01/2041#BR1090                                                 | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107410 | PA      | $96305.35     | 0.01%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2933 ZM 5.75% 02/15/2035                                                     | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     109687 | PA      | $111858.55    | 0.02%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/28 #477463                                                          | CUSIP: 36209PML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        296 | PA      | $302.95       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2047#CA0607                                                 | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2471513 | PA      | $2280440.75   | 0.34%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.75% MAC 09/17/28                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -43399000 | NC      | $-381563.74   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 08/01/2050#BQ0233                                                   | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88058 | PA      | $70822.47     | 0.01%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                 | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17556 | PA      | $16573.02     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2041#                                                       | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18404 | PA      | $18387.54     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/46#BC1354                                                      | CUSIP: 3140EVQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136798 | PA      | $126906.24    | 0.02%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                        | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1307940 | PA      | $1150737.29   | 0.17%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                           | CGCMT 2015-GC33 XA CSTR 09/58                                                    | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267978 | PA      | $41.46        | 0.00%             | 2058-09-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.66% 8/35 #745071                                                      | CUSIP: 31403CW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14903 | PA      | $15314.34     | 0.00%             | 2035-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 11/32#ZK9037                                                        | CUSIP: 3131XDBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638728 | PA      | $622251.86    | 0.09%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2052#FA0903                                                 | CUSIP: 3140W1AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1311649 | PA      | $1115488.88   | 0.17%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044            | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      26825 | PA      | $3113.27      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 10/41 #Q04113                                                         | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13444 | PA      | $13085.43     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                    | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     817717 | PA      | $816910.84    | 0.12%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/40 #AH0851                                                         | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6789 | PA      | $6600.58      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 10/01/2055 #TBA                                                     | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     275000 | PA      | $280736.34    | 0.04%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/01/2046#AZ6451                                                 | CUSIP: 3138YYEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70757 | PA      | $65640.92     | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                    | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     593878 | PA      | $595418.30    | 0.09%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17564                                                 | CUSIP: 3132J8Z60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8368 | PA      | $7879.15      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 06/01/2050#SD8080                                                   | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6820112 | PA      | $5478368.36   | 0.82%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 04/01/2049#BN6567                                                 | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28972 | PA      | $26496.93     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 06/01/2053#RA9278                                                   | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     512894 | PA      | $529762.59    | 0.08%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2047#BE7834                                                 | CUSIP: 3140FTV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54744 | PA      | $50665.32     | 0.01%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                               | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                    | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525649 | PA      | $525321.84    | 0.08%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2104 PG 6% 12/28                                                             | CUSIP: 3133THA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5971 | PA      | $6092.25      | 0.00%             | 2028-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2050#CA6416                                                   | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2601449 | PA      | $2292742.81   | 0.34%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 02/01/2052#RA6773                                                   | CUSIP: 3133KNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444453 | PA      | $358958.42    | 0.05%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                  | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1145203 | PA      | $1023189.36   | 0.15%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5% 12/20/2054#MB0091                                                     | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     854015 | PA      | $845132.04    | 0.13%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.293% 3/35 #815586                                                     | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1294 | PA      | $1324.84      | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-39 TE 5% 5/35                                                           | CUSIP: 31394DTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      49265 | PA      | $50167.31     | 0.01%             | 2035-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 3/1/43#AR6743                                                     | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77657 | PA      | $72903.87     | 0.01%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 07/01/2035#FM3159                                                   | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249856 | PA      | $231369.59    | 0.03%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 04/15/2042#792254                                                   | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10899 | PA      | $10542.50     | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                      | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A            | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $999308.70    | 0.15%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 09/01/2054#SD6617                                                 | CUSIP: 3132DUK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3742742 | PA      | $3951611.22   | 0.59%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#CB2886                                                   | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1068835 | PA      | $935987.52    | 0.14%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AE9338                                                          | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11889 | PA      | $11581.85     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/43 #MA1012                                                       | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30281 | PA      | $28166.27     | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 09/01/2055 #TBA                                                     | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17600000 | PA      | $17729840.48  | 2.65%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 12/33 #G03583                                                         | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6296 | PA      | $6696.97      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                    | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1801315 | PA      | $1772737.17   | 0.26%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        259 | NC      | $99697.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.47% 3/40 #AD0820                                                      | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5312 | PA      | $5506.81      | 0.00%             | 2040-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 04/01/2037#BM1257                                                 | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2127431 | PA      | $1964888.06   | 0.29%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                       | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                      | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     726312 | PA      | $679475.70    | 0.10%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479596                                                         | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2261 | PA      | $2192.11      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/32 #663318                                                          | CUSIP: 31391C4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19616 | PA      | $20974.58     | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                 | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11485 | PA      | $10654.35     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                        | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                  | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100015.60    | 0.01%             | 2035-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 6/36 #885763                                                          | CUSIP: 31410DB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9208 | PA      | $9769.96      | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 06/15/2042#AA0565                                                 | CUSIP: 36177WTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2353 | PA      | $2273.64      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.5% 02/43 #Q15871                                                          | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24149 | PA      | $22935.17     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 8.00% 12/29 #252926                                                         | CUSIP: 31371H4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.45        | 0.00%             | 2029-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 10/01/2049#SD8016                                                   | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324066 | PA      | $284799.97    | 0.04%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 03/20/44#MA1760                                                     | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2346 | PA      | $2182.81      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                 | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247567 | PA      | $233529.64    | 0.03%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 10/01/2053#CB7297                                                 | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     975828 | PA      | $995211.03    | 0.15%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 03/20/2052#                                                           | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1596511 | PA      | $1308000.02   | 0.20%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#FM3897                                                   | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360330 | PA      | $291692.81    | 0.04%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 06/01/2054#CB8689                                                 | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     757422 | PA      | $764182.94    | 0.11%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 12/20/2051#785791                                                   | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     404118 | PA      | $341309.38    | 0.05%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2051#FS4654                                                   | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1825781 | PA      | $1466018.29   | 0.22%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 9.00% 10/30 #567024                                                         | CUSIP: 31386L4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13109 | PA      | $13971.21     | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 02/01/2051#RA4575                                                 | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411659 | PA      | $345591.65    | 0.05%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                         | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                            | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276966 | PA      | $276879.62    | 0.04%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $26586.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2045#Q34458                                                 | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98640 | PA      | $94925.74     | 0.01%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 11/20/2050#MA6994                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2858592 | PA      | $2341559.30   | 0.35%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #737104                                                          | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31476 | PA      | $31368.53     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 9/40 #004801                                                       | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52762 | PA      | $52494.00     | 0.01%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 11/39 #AC5442                                                         | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90483 | PA      | $90423.23     | 0.01%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                 | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5983 | PA      | $5550.47      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/26 #256384                                                          | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $6.83         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 09/01/2053#CB7134                                                 | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567701 | PA      | $595124.38    | 0.09%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/29 #510903                                                          | CUSIP: 36211ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1124 | PA      | $1146.77      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2040#AE0698                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66260 | PA      | $66186.62     | 0.01%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2346                                                   | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491283 | PA      | $397701.97    | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33801                                                 | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10623 | PA      | $9875.32      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                      | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      25243 | PA      | $23618.38     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 6/39 #AA9805                                                          | CUSIP: 31416T3P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1682 | PA      | $1644.04      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 05/01/2053#FS4631                                                 | CUSIP: 3140XLED6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910043 | PA      | $924423.01    | 0.14%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2050#FM3237                                                 | CUSIP: 3140X6S36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209844 | PA      | $191063.32    | 0.03%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                     | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     364935 | PA      | $325656.40    | 0.05%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2044#V81064                                                 | CUSIP: 3132L6FD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1849 | PA      | $1842.98      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C31                          | WFCM 2015-C31 XA CSTR 11/48                                                      | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1915414 | PA      | $104.58       | 0.00%             | 2048-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2032#BM5345                                                   | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985347 | PA      | $962636.16    | 0.14%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 12/26 #C91019                                                    | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        836 | PA      | $843.07       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2802 OB 6% 5/34                                                              | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      26921 | PA      | $27610.90     | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/29 #506350                                                          | CUSIP: 31383LQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1270 | PA      | $1326.95      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK7441                                                          | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21592 | PA      | $20936.60     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA FHAL 7% 12/28#252285                                                        | CUSIP: 31371HF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $494.72       | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT3073                                                    | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17743 | PA      | $16679.73     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2046#AS7822                                                 | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95517 | PA      | $88400.85     | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                       | CARVANA AUTO RECEIVABLES TR 2025-P1 4.5% 06/12/2028                              | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     373019 | PA      | $373204.54    | 0.06%             | 2028-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #772072                                                         | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20724 | PA      | $20060.05     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 10/01/2052#FS3047                                                   | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     922938 | PA      | $921103.41    | 0.14%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 10/01/2051#MA4438                                                 | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2043798 | PA      | $1707486.26   | 0.26%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2052#SD8275                                                 | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448027 | PA      | $432886.27    | 0.06%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2                | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 4.74% 01/16/2029                      | CUSIP: 30168JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1080000 | PA      | $1085062.93   | 0.16%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-66 SB SOFR30A+3891.312 7/37                                             | CUSIP: 31396WYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3408 | PA      | $3915.28      | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 11/01/2041#BT9396                                                 | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104562 | PA      | $93462.01     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 09/01/2054#CB9216                                                   | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1603334 | PA      | $1641536.95   | 0.25%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                            | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1206097 | PA      | $1207452.04   | 0.18%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                             | BHG 2025-2CON 4.84% 09/17/2036 144A                                              | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $504002.10    | 0.08%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#FS9872                                                   | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197552 | PA      | $159921.44    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A      | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027            | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     687915 | PA      | $688142.14    | 0.10%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 03/01/2054#CB8112                                                   | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375485 | PA      | $384783.75    | 0.06%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 04/20/2055#MB0306                                                   | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104513 | PA      | $100635.90    | 0.02%             | 2055-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2             | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                   | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $603891.66    | 0.09%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 07/01/2041#CB1071                                                   | CUSIP: 3140QLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     674994 | PA      | $583374.12    | 0.09%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.875% 08/15/2034                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6750000 | PA      | $6618164.40   | 0.99%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2042#778869                                                 | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15614 | PA      | $15116.72     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2050#CA7616                                                   | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571146 | PA      | $459853.28    | 0.07%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                  | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                         | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1925612 | PA      | $1931024.25   | 0.29%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1            | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                  | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      59427 | PA      | $59602.91     | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 01/01/2046#G08687                                                 | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47318 | PA      | $43923.10     | 0.01%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 04/01/2054#SD7569                                                   | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2091170 | PA      | $2168443.17   | 0.32%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 10/01/2051#CB1799                                                   | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1977288 | PA      | $1600647.76   | 0.24%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2044#AL5512                                                 | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45079 | PA      | $44850.63     | 0.01%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 10/15/2046                                     | CUSIP: 3137BYNZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     179403 | PA      | $176129.21    | 0.03%             | 2046-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/32 #641058                                                          | CUSIP: 31390BE79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3160 | PA      | $3379.09      | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 03/01/2033#AB0066                                                   | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24575 | PA      | $24860.46     | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 02/01/2041#MA4266                                                 | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130363 | PA      | $109008.87    | 0.02%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 05/01/2051#MA4326                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828678 | PA      | $693093.73    | 0.10%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3002 NE 5% 7/35                                                              | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      28206 | PA      | $28985.55     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                            | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     683709 | PA      | $690671.11    | 0.10%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.75% 04/15/2028                                                       | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4450000 | PA      | $4467035.13   | 0.67%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 01/01/2037#FS2747                                                 | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958406 | PA      | $859106.11    | 0.13%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                    | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                     | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     120000 | PA      | $120496.98    | 0.02%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 06/01/2053#CB6539                                                   | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702506 | PA      | $726709.07    | 0.11%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 02/01/2053#CB5600                                                 | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330793 | PA      | $335813.62    | 0.05%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 9/35 #A47784                                                          | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14315 | PA      | $15179.31     | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 10/01/2055 #TBA                                                   | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7700000 | PA      | $6954363.57   | 1.04%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                            | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1404782 | PA      | $1416802.25   | 0.21%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 11/39 #004577                                                      | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1566 | PA      | $1558.47      | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 03/01/2036#BR4700                                                 | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14503 | PA      | $13009.40     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.691% 02/01/2042#AK2344                                                | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5099 | PA      | $5318.61      | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                               | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $700475.51    | 0.10%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                         | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     285681 | PA      | $281517.98    | 0.04%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/01/2051#QC7480                                                   | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14712 | PA      | $13985.19     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#FM9919                                                   | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519454 | PA      | $455214.25    | 0.07%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                            | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     593082 | PA      | $596950.03    | 0.09%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 09/01/2051#MA4414                                                 | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36647 | PA      | $30616.52     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                    | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     527898 | PA      | $520982.84    | 0.08%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2042#C04038                                                 | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31435 | PA      | $29722.97     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     800000 | NC      | $-10737.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 6/41 #754005                                                          | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6621 | PA      | $6448.64      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6               | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                   | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6109384 | PA      | $28061.62     | 0.00%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                 | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                 | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     484798 | PA      | $488478.95    | 0.07%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                            | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276624 | PA      | $231537.40    | 0.03%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2050#SD7528                                                   | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16146 | PA      | $13080.46     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 11/01/2050#QB6612                                                 | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58086 | PA      | $44557.42     | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 01/01/2053#SD2186                                                   | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     738421 | PA      | $736261.29    | 0.11%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.50% 4/42 #C03811                                                          | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582901 | PA      | $552388.58    | 0.08%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                           | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     253716 | PA      | $233867.65    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 09/01/2055 #TBA                                                       | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46500000 | PA      | $47427809.85  | 7.09%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2996 ZD 5.5% 06/35                                                           | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      69118 | PA      | $70102.85     | 0.01%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 10/01/2051#FM9068                                                 | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191270 | PA      | $160752.49    | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2045#AS6262                                                 | CUSIP: 3138WF5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3392 | PA      | $3144.58      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/40 #741372                                                          | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33505 | PA      | $33385.61     | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/51#SD7541                                                        | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21929 | PA      | $17765.92     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                 | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6405 | PA      | $5942.27      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #710465                                                          | CUSIP: 36297FJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121601 | PA      | $121188.62    | 0.02%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 09/20/2040#004799                                                   | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5078 | PA      | $4776.23      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 09/01/2050#SD8092                                                   | CUSIP: 3132DV7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17087 | PA      | $14973.81     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                            | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1703372 | PA      | $1705450.19   | 0.25%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/40 #737790                                                         | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3611 | PA      | $3505.07      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.78% 10/35 #1N0063                                                     | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $83.86        | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 12/01/2033#C91737                                                 | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96269 | PA      | $94568.53     | 0.01%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 03/01/2052#SD3489                                                   | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558223 | PA      | $448401.52    | 0.07%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 3/42 #Q06886                                                          | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33100 | PA      | $32200.38     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                            | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      20967 | PA      | $754.14       | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNMA 2017-H06 FA T1Y+35 08/66                                                    | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      69566 | PA      | $69274.56     | 0.01%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                            | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100374 | PA      | $98012.40     | 0.01%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                   | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     206000 | PA      | $180682.51    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 06/01/2041#MA4364                                                   | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17337 | PA      | $15002.14     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 11/01/2040#AE8265                                                 | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11193 | PA      | $10940.16     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 11/01/2052#SD1863                                                   | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369890 | PA      | $1368023.10   | 0.20%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST 2024-1A                         | UPGRADE RECEIVABLES TRUST 2024-1A 5.37% 02/18/2031 144A                          | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      97097 | PA      | $97159.37     | 0.01%             | 2031-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 03/01/2043#Q16470                                                 | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21504 | PA      | $19770.57     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 10/39 #932130                                                         | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43601 | PA      | $43628.64     | 0.01%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                            | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     364022 | PA      | $363117.07    | 0.05%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                         | CIM TRUST 2025-R1 5% 02/25/2099 144A                                             | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1457139 | PA      | $1443663.84   | 0.22%             | 2099-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 6% 07/01/2039#SB1215                                                   | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2745664 | PA      | $2834898.86   | 0.42%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 01/01/2042#AJ8357                                                  | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11804 | PA      | $12292.54     | 0.00%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 05/01/2054#                                                         | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1829943 | PA      | $1874117.74   | 0.28%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19764                                                 | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10256 | PA      | $9898.97      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 04/51#MA7311                                                          | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220428 | PA      | $180559.53    | 0.03%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2587 IM 6.5% 3/33                                                            | CUSIP: 31393NA66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       8167 | PA      | $1187.53      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 03/01/2049#ZN6553                                                   | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549189 | PA      | $520313.33    | 0.08%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 03/01/2053#SD7559                                                 | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3020850 | PA      | $3085575.43   | 0.46%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19597                                                 | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28539 | PA      | $27572.10     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2051#CB1109                                                   | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18261 | PA      | $14650.98     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 06/01/2054#SD7571                                                 | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1388358 | PA      | $1461498.97   | 0.22%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2039#AV6581                                                   | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41210 | PA      | $40206.07     | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     600000 | NC      | $39879.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2044#AS3651                                                 | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33418 | PA      | $33103.64     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $6646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY873245 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     899941 | NC      | $7435.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                 | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302958 | PA      | $317403.14    | 0.05%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    2400000 | NC      | $-32212.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2043#MA1225                                                   | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22354 | PA      | $21550.55     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 11/33 #G01625                                                         | CUSIP: 31283HYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112659 | PA      | $114213.42    | 0.02%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 04/01/2052#SD7554                                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072122 | PA      | $907428.32    | 0.14%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 05/01/2055#CC0404                                                   | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873469 | PA      | $904721.65    | 0.14%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 09/01/2050#SD8090                                                   | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1401832 | PA      | $1125606.54   | 0.17%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                 | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10883 | PA      | $11280.59     | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3038                                                   | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169803 | PA      | $136290.74    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 04/01/2041#                                                         | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1230413 | PA      | $1065879.38   | 0.16%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 3/41 #004978                                                       | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9598 | PA      | $9547.76      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18363                                                 | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5659 | PA      | $5462.37      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/42#G07184                                                        | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1402713 | PA      | $1362393.32   | 0.20%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 08/01/2048#ZS4785                                                   | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164066 | PA      | $155696.38    | 0.02%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 10/32 #G01766                                                         | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12966 | PA      | $13594.03     | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 05/01/2053#FS4662                                                 | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696429 | PA      | $732682.28    | 0.11%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 11/01/2041#RB5135                                                   | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534935 | PA      | $461046.16    | 0.07%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 1.5% 01/01/2051#MA4236                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2364944 | PA      | $1794908.70   | 0.27%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 11/34 #A45143                                                         | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5566 | PA      | $5884.21      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                          | WHEELS FLEET LEASE FUNDING 1 LLC 2023-1A A 5.8% 04/18/2038 144A                  | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     344339 | PA      | $346782.63    | 0.05%             | 2038-04-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2041#AH4043                                                 | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35201 | PA      | $35108.45     | 0.01%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2218 ZB 6% 3/30                                                              | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3346 | PA      | $3418.03      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CY873248 04/17/65 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      90000 | NC      | $14391.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 09/01/2055 #TBA                                                     | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1150000 | PA      | $-1174976.62  | -0.18%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2039#                                                       | CUSIP: 312936C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9646 | PA      | $9648.26      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#BM5096                                                 | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1330917 | PA      | $1252285.88   | 0.19%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                              | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                       | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242408 | PA      | $242256.29    | 0.04%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                   | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     200104 | PA      | $175495.56    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 02/01/2055#CB9989                                                   | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1154741 | PA      | $1196058.39   | 0.18%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                     | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     116607 | PA      | $105643.15    | 0.02%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/41 #Q03529                                                          | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5043 | PA      | $5043.63      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2050#MA4211                                                   | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980163 | PA      | $858948.94    | 0.13%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2052#SD0958                                                 | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10282824 | PA      | $9405115.93   | 1.41%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 11/36 #995606                                                           | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1080.48      | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                           | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     212818 | PA      | $183722.20    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#MA4077                                                   | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1019642 | PA      | $818725.72    | 0.12%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $13293.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#BM4980                                                   | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181993 | PA      | $176617.56    | 0.03%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 7.00% 12/26 #256589                                                    | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $310.27       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 5/42 #Q08167                                                          | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33812 | PA      | $32930.79     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                          | BANK5 2025-5YR14 CSTR 04/15/2058                                                 | CUSIP: 06604MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5297049 | PA      | $210610.67    | 0.03%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.75% MAC 09/17/32                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -11020000 | NC      | $-86632.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#FS3248                                                   | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504788 | PA      | $504257.73    | 0.08%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.753% 10/33 #746320                                                    | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1799 | PA      | $1832.84      | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 01/01/2036#G30933                                                   | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205684 | PA      | $203399.14    | 0.03%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 30YR 3% 12/01/2051#FA0145                                              | CUSIP: 3140W0ET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156159 | PA      | $136896.09    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.75% 02/15/2045                                                       | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6430000 | PA      | $6334554.69   | 0.95%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2095 PE 6% 11/28                                                             | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      17699 | PA      | $18046.23     | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/20/2043#MA0852                                                   | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113803 | PA      | $106365.01    | 0.02%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745083                                                          | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55736 | PA      | $55532.52     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 12/01/2035#MA4205                                                 | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546775 | PA      | $491320.15    | 0.07%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 03/20/2050#MA6541                                                     | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     518152 | PA      | $460387.06    | 0.07%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                        | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                          | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     468122 | PA      | $470794.28    | 0.07%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#FS0631                                                   | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662727 | PA      | $580355.74    | 0.09%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/51#QC1514                                                        | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248397 | PA      | $201004.05    | 0.03%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                               | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     227111 | PA      | $228856.96    | 0.03%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 09/01/2054#SD7574                                                   | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182880 | PA      | $189009.07    | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                 | MFRA TRUST VAR 02/25/2066 144A                                                   | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     265720 | PA      | $251360.42    | 0.04%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 10/34 #605525                                                         | CUSIP: 36200NVS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19112 | PA      | $19871.82     | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 08/01/2051#MA4399                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164894 | PA      | $137759.99    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                     | TMST 2003-4 A1 TSFR1M+75.448 9/43                                                | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     194439 | PA      | $188248.51    | 0.03%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 09/01/2054#CB9209                                                 | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1343160 | PA      | $1354309.27   | 0.20%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/31 #556294                                                         | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1064 | PA      | $1099.94      | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 3/32 #C64888                                                          | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1212.49      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                   | CUSIP: 3137F64V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     583441 | PA      | $493469.92    | 0.07%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #711188                                                          | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1325 | PA      | $1320.42      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2051#FS6219                                                 | CUSIP: 3140XM4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692281 | PA      | $629674.70    | 0.09%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.37% 6/36 #916726                                                      | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10498 | PA      | $10722.10     | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                  | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                   | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $403882.04    | 0.06%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2047#Q51296                                                 | CUSIP: 3132XTNN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9268 | PA      | $9090.97      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                   | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                          | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144059 | PA      | $144283.80    | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2039#                                                       | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80705 | PA      | $80773.75     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                   | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     169000 | PA      | $143516.47    | 0.02%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 5/46#Q40310                                                         | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78328 | PA      | $70346.54     | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CY451600 12/16/72 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     760000 | NC      | $-2706.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2045#G07949                                                   | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156225 | PA      | $150752.90    | 0.02%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13381                                                 | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        995 | PA      | $979.74       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 05/01/2031#BC0919                                                 | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32022 | PA      | $31007.70     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH CAPITAL SERVICES , INC.                     | MLCS SWAP CY451600 12/16/72 B                                                    | CUSIP: N/A<br>LEI: GDWTXX036O1TB7DW3U69       | N/A              | DCR              | CORP              | US        |     720000 | NC      | $-2563.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     300000 | NC      | $-4026.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                               | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                      | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     158000 | PA      | $160200.10    | 0.02%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 7/36 #658019                                                          | CUSIP: 36294SAU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $345.28       | 0.00%             | 2036-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 01/20/2051#MA7135                                                     | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9423222 | PA      | $7718846.66   | 1.15%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 11/01/2053#SD4349                                                   | CUSIP: 3132E0ZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8706023 | PA      | $9003244.99   | 1.35%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 07/01/2035#SB8065                                                 | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212686 | PA      | $191912.64    | 0.03%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 12/01/2044#AX5347                                                 | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145612 | PA      | $140230.74    | 0.02%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/01/2051#BT0253                                                   | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10380 | PA      | $9867.33      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 7/41 #748144                                                          | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3631 | PA      | $3512.05      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #481798                                                          | CUSIP: 36209UGF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        526 | PA      | $533.05       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 05/01/2052#FS7943                                                 | CUSIP: 3140XPZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100771 | PA      | $84912.95     | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 07/01/2032#C91467                                                 | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391608 | PA      | $385602.03    | 0.06%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 08/01/2054#CB9059                                                 | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283886 | PA      | $286420.42    | 0.04%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                           | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     158875 | PA      | $140954.52    | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/47#BH1008                                                      | CUSIP: 3140GPDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6918 | PA      | $6781.53      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 11/41 #005234                                                      | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1182 | PA      | $1175.76      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                 | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50437 | PA      | $46789.94     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 4/32 #638545                                                          | CUSIP: 31389XL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1304 | PA      | $1393.95      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TR 2025-A                       | CARMAX SELECT RECEIVABLES TR 2025-A 4.77% 09/17/2029                             | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     325000 | PA      | $327552.97    | 0.05%             | 2029-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3.5% 02/01/2034#G16752                                                 | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231541 | PA      | $226380.81    | 0.03%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3949 MK 4.5% 10/34                                                           | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      20206 | PA      | $20140.02     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 5.5% 09/20/2054#MA9906                                                   | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     719840 | PA      | $725684.78    | 0.11%             | 2054-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 05/01/2051#FM7352                                                 | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1513081 | PA      | $1278758.11   | 0.19%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 11/20/2043#MA1448                                                   | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4293 | PA      | $4002.97      | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2041#AI5034                                                 | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7074 | PA      | $7184.27      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 10/01/2048#ZM8580                                                   | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195723 | PA      | $185432.57    | 0.03%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 3/35 #255661                                                          | CUSIP: 31371L5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        659 | PA      | $696.93       | 0.00%             | 2035-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 09/01/2055 #TBA                                                   | CUSIP: 01F022691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -14350000 | PA      | $-11913302.56 | -1.78%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                  | GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051                                     | CUSIP: 36250SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2150501.76   | 0.32%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 08/15/2041#768109                                                   | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8439 | PA      | $8193.95      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 09/01/2041#FM8850                                                 | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361477 | PA      | $322610.12    | 0.05%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 06/01/2051#FS4922                                                   | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2705381 | PA      | $2386877.85   | 0.36%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/29 #514330                                                          | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         88 | PA      | $89.61        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                     | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                           | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     302000 | PA      | $305554.42    | 0.05%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 05/01/2055#SD8533                                                 | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2241197 | PA      | $2254898.90   | 0.34%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2046#G60440                                                 | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     656909 | PA      | $611625.78    | 0.09%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                 | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9448 | PA      | $8892.13      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHLMC REMI 30YR 5.5% 04/01/2055#RJ4005                                           | CUSIP: 3142GUNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     687899 | PA      | $693179.51    | 0.10%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 1/41 #004946                                                       | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96999 | PA      | $96490.41     | 0.01%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 06/01/2029#                                                         | CUSIP: 31293RUJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $223.49       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#AL9489                                                 | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89647 | PA      | $82884.70     | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6 MTG TR                                       | BMO 2024-5C6 MTG TR 5.3161% 09/15/2057                                           | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1236074.40   | 0.18%             | 2057-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 11/01/2029#                                                       | CUSIP: 31293YAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $186.94       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#FS3884                                                   | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368972 | PA      | $322650.66    | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+61.448 10/20/2049                          | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     112753 | PA      | $110606.31    | 0.02%             | 2049-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                          | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                   | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637000 | PA      | $637987.03    | 0.10%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2046#BD0711                                                 | CUSIP: 3140F7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51066 | PA      | $47309.57     | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 07/01/2042#Q09230                                                   | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     287618 | PA      | $278931.23    | 0.04%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                     | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     217588 | PA      | $213867.70    | 0.03%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 09/01/2055 #TBA                                                     | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -17600000 | PA      | $-17729840.48 | -2.65%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     150000 | NC      | $18915.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02849                                                          | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2494 | PA      | $2494.63      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR3125                                                   | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14938 | PA      | $13785.19     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 11/01/2041#CB2110                                                   | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570264 | PA      | $491644.20    | 0.07%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2042#AL5881                                                 | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25933 | PA      | $25903.44     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 30YR 2% 03/01/2052#                                                    | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536956 | PA      | $1230742.80   | 0.18%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 12/01/2050#QB7301                                                 | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39598 | PA      | $30374.99     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2047#CA0526                                                 | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228882 | PA      | $212331.14    | 0.03%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 11/01/2041#MA4473                                                 | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2647163 | PA      | $2195585.38   | 0.33%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/35 #G06928                                                          | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12029 | PA      | $12201.64     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/32 #254335                                                          | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3734 | PA      | $3971.59      | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #782989                                                          | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106805 | PA      | $106428.43    | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2046#G60603                                                 | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511433 | PA      | $475059.20    | 0.07%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/41 #783295                                                          | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51575 | PA      | $51345.92     | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 10/01/2055 #TBA                                                   | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5525000 | PA      | $4587476.56   | 0.69%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#FM9501                                                 | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2274462 | PA      | $1919385.24   | 0.29%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 2/1/43 #AR5859                                                    | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11288 | PA      | $10634.84     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK5316                                                          | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14137 | PA      | $13677.67     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 06/01/2053#CB6538                                                   | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926736 | PA      | $959243.40    | 0.14%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 5.0% 06/15/2041#783838                                                 | CUSIP: 3622A2HP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9085 | PA      | $9224.85      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 7.00% 4/32 #781432                                                       | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21443 | PA      | $22313.96     | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 1/1/43 #Q14696                                                      | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45466 | PA      | $41782.77     | 0.01%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK3548                                                          | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6564 | PA      | $6389.20      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY562349 11/18/64 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $14121.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 08/20/2051#785602                                                   | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4306136 | PA      | $3636866.60   | 0.54%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 07/01/2041#SC0162                                                   | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1671775 | PA      | $1452881.76   | 0.22%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 09/01/2033#AL7521                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530686 | PA      | $537621.20    | 0.08%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 351 13 6% 3/34                                                               | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      10573 | PA      | $1761.29      | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 09/20/2051#785616                                                   | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1709580 | PA      | $1443873.49   | 0.22%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 10/01/2040#FM4644                                                   | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39698 | PA      | $34572.82     | 0.01%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745232                                                          | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32923 | PA      | $32808.29     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 4.07 12/19/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2660000 | NC      | $85386.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK1510                                                          | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21278 | PA      | $20682.32     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 07/20/2043#635118                                                   | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41309 | PA      | $38628.15     | 0.01%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 03/01/2051#SD8133                                                 | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     975796 | PA      | $740594.43    | 0.11%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #783143                                                         | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31908 | PA      | $30991.72     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #462495                                                          | CUSIP: 36208VXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.47        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 01/01/2027#                                                       | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.60        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                              | Fidelity Cash Central Fund                                                       | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   14667739 | NS      | $14670672.91  | 2.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CENT TRUST 2025-CITY                                      | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                       | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377000 | PA      | $381849.28    | 0.06%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2274 ZM 6.5% 1/31                                                            | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5523 | PA      | $5603.24      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 1/32 #C62372                                                          | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12283 | PA      | $12821.21     | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-20 Z 6% 5/31                                                            | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      19427 | PA      | $19791.15     | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 09/39#G05624                                                      | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25724 | PA      | $25742.70     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AL1521                                                          | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125102 | PA      | $121314.73    | 0.02%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #545934                                                          | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17533 | PA      | $17466.38     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 05/01/2051#SI2106                                                 | CUSIP: 3133USKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1156841 | PA      | $967565.06    | 0.14%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                   | CUSIP: 3137F6YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     770760 | PA      | $646445.90    | 0.10%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 05/01/2052#RA7375                                                   | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     705267 | PA      | $618048.82    | 0.09%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #737559                                                         | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82176 | PA      | $79771.25     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/40 #004833                                                      | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304030 | PA      | $294747.73    | 0.04%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035                        | CUSIP: 31394D4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      37023 | PA      | $2642.02      | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP7882                                                         | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52759 | PA      | $49722.67     | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2520 BE 6% 11/32                                                             | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      22380 | PA      | $23141.90     | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 01/01/2051#SD8121                                                   | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8887860 | PA      | $7122656.61   | 1.06%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 7.00% 3/32 #003216                                                       | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3216 | PA      | $3352.70      | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 01/01/2036#SB8083                                                 | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     557875 | PA      | $501294.42    | 0.07%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2041#Q02721                                                 | CUSIP: 3132GGAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2995 | PA      | $2913.63      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-136 WI 4.5% 5/40                                                        | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       3789 | PA      | $135.85       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#                                                         | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50905 | PA      | $41208.42     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP3391                                                          | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15609 | PA      | $14760.39     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 07/01/2054#CB8857                                                   | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034545 | PA      | $1059519.06   | 0.16%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 01/01/2041#SC0119                                                 | CUSIP: 3132D9DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314388 | PA      | $281972.15    | 0.04%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 02/01/2049#BM5577                                                   | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205030 | PA      | $207121.74    | 0.03%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/47#Q46995                                                      | CUSIP: 3132WLXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10865 | PA      | $10670.61     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047                                   | CUSIP: 3136AWLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3218337 | PA      | $2946737.81   | 0.44%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2047#Q47737                                                 | CUSIP: 3132WMS39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13808 | PA      | $13561.72     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                  | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1088662 | PA      | $1044072.74   | 0.16%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2042#Q11138                                                 | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16348 | PA      | $15939.58     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 01/01/2052#QD4275                                                   | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86479 | PA      | $75730.19     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 12/15/2042#AB8144                                                   | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6622 | PA      | $6408.67      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-52 HI 7% 4/41                                                           | CUSIP: 38377VGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      85896 | PA      | $10096.11     | 0.00%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/46#BM3928                                                      | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434502 | PA      | $434170.32    | 0.06%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                         | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                               | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567300 | PA      | $567122.84    | 0.08%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55720                                                   | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5147 | PA      | $4898.33      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/26 #256507                                                         | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        441 | PA      | $443.96       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 11/01/2041#FM9558                                                 | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423132 | PA      | $376815.59    | 0.06%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                           | BANK 2020-BNK26 2.313% 03/15/2063                                                | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643414 | PA      | $619449.41    | 0.09%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FGLMC 30YR 3.5% 09/46#Q43176                                                     | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117716 | PA      | $109086.60    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP PAY 3.9 07/08/26                                                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    1800000 | NC      | $36552.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 12/01/2040#RB5089                                                 | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76585 | PA      | $64143.34     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 06/01/2041#FM7891                                                   | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34279 | PA      | $29969.09     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/01/2035#FM2502                                                 | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325261 | PA      | $308261.81    | 0.05%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 12/15/2040#746175                                                 | CUSIP: 3620C16L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9096 | PA      | $8837.43      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 10/25 #387082                                                         | CUSIP: 36205C6T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $3.86         | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2020-5058 BE 3% 11/25/2050                        | CUSIP: 3137F8AX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     503172 | PA      | $430917.25    | 0.06%             | 2050-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 01/01/2041#MA4231                                                 | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127980 | PA      | $107105.35    | 0.02%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 12/20/44#MA2446                                                     | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11241 | PA      | $10793.46     | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                        | PRPM 2024-RPL1 LLC A1 4.2% 12/25/2064 144A                                       | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     253372 | PA      | $249132.61    | 0.04%             | 2064-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 10/20/2043#MA1375                                                   | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3909 | PA      | $3645.85      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 12/01/2040#MA4202                                                 | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126993 | PA      | $106365.65    | 0.02%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 08/20/2051#785564                                                   | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1121541 | PA      | $947228.83    | 0.14%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 3.8 08/10/26                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2750000 | NC      | $81375.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 04/20/2043#MA0934                                                   | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182096 | PA      | $170150.84    | 0.03%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/46#BC9077                                                      | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481475 | PA      | $445154.83    | 0.07%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 09/01/2055 #TBA                                                   | CUSIP: 01F042699<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -5850000 | PA      | $-5626968.75  | -0.84%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 07/01/2036#SB0535                                                 | CUSIP: 3132CWSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379542 | PA      | $358164.13    | 0.05%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/46#AS7533                                                        | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     712613 | PA      | $638961.23    | 0.10%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 10/01/2035#BK5705                                                   | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453276 | PA      | $417897.58    | 0.06%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 08/01/2031#BC2778                                                 | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44227 | PA      | $42792.87     | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 01/01/2051#MA4237                                                   | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     799286 | PA      | $640541.00    | 0.10%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2048#CA0990                                                 | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246272 | PA      | $228463.81    | 0.03%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 08/01/2041#QK0985                                                 | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65394 | PA      | $58666.11     | 0.01%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -305 | NC      | $-195960.98   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#RA6510                                                   | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     372007 | PA      | $300680.78    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 07/15/2043#AC1095                                                 | CUSIP: 36179AGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16906 | PA      | $15869.85     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2052#FS0191                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156309 | PA      | $132297.78    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-57 SA 4062-6*1ML 6/37                                                   | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      24036 | PA      | $32876.50     | 0.00%             | 2037-06-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2050#SD8106                                                   | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4431167 | PA      | $3555254.15   | 0.53%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                     | CUSIP: 3137H6V28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     379972 | PA      | $351612.51    | 0.05%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 5.5% 07/01/2053#RA9373                                                 | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1062422 | PA      | $1080869.02   | 0.16%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 05/01/2041#FM7587                                                 | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119567 | PA      | $107479.47    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2053#                                                       | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151370 | PA      | $146207.47    | 0.02%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | USTN TII 2.375% 02/15/2055                                                       | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1950000 | PA      | $1886628.06   | 0.28%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 04/01/2041#QK0705                                                 | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598217 | PA      | $499948.71    | 0.07%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 09/01/2051#QC7496                                                   | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19552 | PA      | $17139.91     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2052#CB2695                                                   | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26858 | PA      | $25513.05     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     130000 | NC      | $20788.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                          | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                           | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     371897 | PA      | $374801.67    | 0.06%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21605                                                 | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20247 | PA      | $19616.34     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 12/01/2047#G61305                                                   | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506321 | PA      | $481422.49    | 0.07%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2045                                     | CUSIP: 3137BUF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      44063 | PA      | $43877.51     | 0.01%             | 2045-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AS4297                                                   | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46364 | PA      | $42801.13     | 0.01%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2050#SD8115                                                   | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     579601 | PA      | $507923.61    | 0.08%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #698474                                                          | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75270 | PA      | $75038.59     | 0.01%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02511                                                          | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3012 | PA      | $3012.63      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 04/20/46#AS7319                                                     | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12371 | PA      | $11416.57     | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/39 #G05457                                                          | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35908 | PA      | $35944.61     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP PAY 3.753 10/31/29                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    4600000 | NC      | $170129.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK2525                                                          | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7684 | PA      | $7516.90      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 02/01/2054#MA5272                                                   | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269683 | PA      | $276024.64    | 0.04%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 06/20/2054#MA9719                                                   | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     432443 | PA      | $368644.25    | 0.06%             | 2054-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2011-4 PZ 5% 2/41                                                            | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      88113 | PA      | $87764.30     | 0.01%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 08/20/2051#785575                                                   | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422341 | PA      | $356699.49    | 0.05%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AJ3485                                                         | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11769 | PA      | $11413.57     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 10/20/2052#MA8345                                                   | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575735 | PA      | $525467.63    | 0.08%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 08/01/2054#CB8984                                                 | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742897 | PA      | $759278.99    | 0.11%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/01/2039#AS2599                                                   | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10997 | PA      | $10722.85     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2029#                                                         | CUSIP: 31293SRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2552 | PA      | $2614.50      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-170 B 4% 12/40                                                          | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      65379 | PA      | $64103.52     | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                              | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                               | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      81568 | PA      | $82175.76     | 0.01%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 11/01/2041#QK1203                                                 | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141830 | PA      | $126770.11    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 04/01/2051#FM6863                                                   | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25002 | PA      | $20255.43     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3336 LI SOFR30A+646.552 6/37                                                 | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      29662 | PA      | $2979.58      | 0.00%             | 2037-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 11/40 #004854                                                      | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121686 | PA      | $121058.29    | 0.02%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 07/01/2041#CB1069                                                   | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456894 | PA      | $396681.23    | 0.06%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2041#AH7219                                                 | CUSIP: 3138A9AV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62763 | PA      | $62615.71     | 0.01%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                               | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     943886 | PA      | $944474.65    | 0.14%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 5/39 #713327                                                          | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20284 | PA      | $20600.36     | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 7/29 #C47273                                                          | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8989 | PA      | $9451.31      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNMA 13-149 MA 2.5% 5/20/40                                                      | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     106039 | PA      | $104457.64    | 0.02%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                   | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     190352 | PA      | $171327.65    | 0.03%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2045#MA3035                                                   | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267198 | PA      | $256059.49    | 0.04%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 12/34 #G05423                                                         | CUSIP: 3128M7LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45796 | PA      | $46479.49     | 0.01%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 12/38 #782537                                                         | CUSIP: 36241KZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1048 | PA      | $1078.15      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3101                                                   | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53678 | PA      | $43403.15     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 3.805 11/05/29                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3900000 | NC      | $140712.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3              | SANTANDER MTG ASSET RECEIVABLES TR 2025-NQM3 A1 5.816% 05/25/2065 144A           | CUSIP: 80263AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1354794 | PA      | $1364088.82   | 0.20%             | 2065-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/01/2048#ZM8169                                                   | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205290 | PA      | $194945.45    | 0.03%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 11/41 #489862                                                         | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97558 | PA      | $94552.20     | 0.01%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2043#Q23023                                                 | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161895 | PA      | $156939.39    | 0.02%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2045#AL9296                                                 | CUSIP: 36184HKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22938 | PA      | $20581.68     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/47#Q48877                                                        | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147763 | PA      | $141235.84    | 0.02%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST             | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A              | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     563069 | PA      | $568507.16    | 0.08%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 04/01/2052#SD6932                                                   | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1473299 | PA      | $1183452.19   | 0.18%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/40 #736729                                                          | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62220 | PA      | $62002.77     | 0.01%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY451600 12/16/72 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1620000 | NC      | $-5768.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2051#CB1142                                                   | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     570059 | PA      | $501520.92    | 0.07%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 12/01/2054#CB9668                                                 | CUSIP: 3140QVW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1322001 | PA      | $1332974.90   | 0.20%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 03/01/2040#MA3965                                                 | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322512 | PA      | $291293.22    | 0.04%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 6/1/52#CB3785                                                       | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306605 | PA      | $288375.77    | 0.04%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     924822 | PA      | $927487.60    | 0.14%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2052#FA2409                                                 | CUSIP: 3140W2VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1761085 | PA      | $1485053.25   | 0.22%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 10/01/2037#BM1951                                                 | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120072 | PA      | $110816.52    | 0.02%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/42 #MA0090                                                       | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9030 | PA      | $8981.38      | 0.00%             | 2042-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                        | JPSW SWAP REC 3.837 07/22/26                                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |    2850000 | NC      | $87971.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/33 #604574                                                          | CUSIP: 36200MT78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        267 | PA      | $266.82       | 0.00%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2043#AV0047                                                 | CUSIP: 3138XBBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7032 | PA      | $6991.60      | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     384375 | PA      | $384814.86    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 10/28 #483492                                                         | CUSIP: 36209WC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        500 | PA      | $512.96       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2052#MA4512                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295043 | PA      | $246216.32    | 0.04%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 03/01/2051#RA4749                                                 | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     383458 | PA      | $321917.07    | 0.05%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                             | SCG 2025-FLWR 5.65% 08/15/2030 144A                                              | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $500625.50    | 0.07%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 4/32 #C01344                                                          | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15283 | PA      | $15865.94     | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 7.00% 8/26 #256430                                                     | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        719 | PA      | $722.74       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/32 #639704                                                          | CUSIP: 31389YU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1225 | PA      | $1301.05      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 03/01/2033#BM4614                                                   | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88863 | PA      | $86737.42     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 6/41 #768770                                                          | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9455 | PA      | $9165.19      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 3.8 08/10/26                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2750000 | NC      | $69994.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2024-1                             | MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A                              | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       4841 | PA      | $4843.86      | 0.00%             | 2034-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                   | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                         | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1700000 | PA      | $1714570.87   | 0.26%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 4/41 #A97942                                                          | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15082 | PA      | $15081.84     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55141                                                   | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4435 | PA      | $4220.68      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1            | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                  | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      55000 | PA      | $55460.08     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                            | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1272159 | PA      | $1282519.04   | 0.19%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 12/40 #004882                                                      | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2333 | PA      | $2261.51      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                           | VERD 2025-1A A2 4.85% 03/13/2028 144A                                            | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     190000 | PA      | $190760.08    | 0.03%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 02/01/2042#SC0248                                                 | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     548556 | PA      | $490759.11    | 0.07%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2046#Q39717                                                   | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29313 | PA      | $26326.60     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                | FNS 384 6 5% 7/37                                                                | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20442 | PA      | $3276.77      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                   | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     675224 | PA      | $612083.92    | 0.09%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 1/36 #A54473                                                          | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3390 | PA      | $3584.26      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 11/01/2050#SD8108                                                   | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71166 | PA      | $62364.80     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 5.5% 08/01/2053#RA9619                                                 | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1188780 | PA      | $1210907.73   | 0.18%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                          | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                     | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     580505 | PA      | $579316.33    | 0.09%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 03/15/2041#769036                                                   | CUSIP: 36176LEH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14251 | PA      | $13792.35     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT0668                                                    | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11269 | PA      | $10602.76     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK6409                                                          | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18751 | PA      | $18177.33     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 08/20/2051#MA7533                                                     | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     316535 | PA      | $259184.19    | 0.04%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745094                                                          | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82961 | PA      | $82675.29     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 11/01/2053#FS6498                                                   | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1017202 | PA      | $1045939.82   | 0.16%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 11/01/2031#MA2803                                                 | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93355 | PA      | $90160.59     | 0.01%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2051#RA6334                                                   | CUSIP: 3133KNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     367607 | PA      | $294712.23    | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.36% 7/36 #1B7105                                                      | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6620 | PA      | $6853.67      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CY885802 12/15/56 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 05/01/2036#FM7429                                                 | CUSIP: 3140XBHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59945 | PA      | $53939.94     | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 348 14 6.5% 8/34                                                             | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      11154 | PA      | $1967.80      | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 06/01/2053#RA9276                                                   | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     551508 | PA      | $570681.10    | 0.09%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 12/01/2035#MA4206                                                   | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036138 | PA      | $954295.05    | 0.14%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 08/01/2035#SB8066                                                 | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438575 | PA      | $395738.55    | 0.06%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/41 #Q03643                                                         | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67629 | PA      | $67612.79     | 0.01%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 02/01/2052#CB2837                                                   | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24733 | PA      | $19998.89     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2154 PT 6% 5/29                                                              | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      15748 | PA      | $16092.54     | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                   | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     154994 | PA      | $139849.50    | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55504                                                   | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11068 | PA      | $10533.90     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 06/01/2032#C91456                                                 | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399038 | PA      | $393017.37    | 0.06%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                        | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      48054 | PA      | $48727.84     | 0.01%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2051#CB1110                                                   | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32867 | PA      | $26369.93     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/28 #458840                                                          | CUSIP: 36208RV92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        262 | PA      | $267.89       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#FA0995                                                   | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     801760 | PA      | $646783.46    | 0.10%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6.5% 01/01/2055#RJ3341                                                 | CUSIP: 3142GTWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451971 | PA      | $477511.95    | 0.07%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 4.065 05/02/30                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |     790000 | NC      | $27665.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 11/01/2053#SD6961                                                   | CUSIP: 3132DUWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882982 | PA      | $884261.73    | 0.13%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2050#SD7521                                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2076039 | PA      | $1762319.01   | 0.26%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2051#RA5574                                                 | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1633152 | PA      | $1377172.31   | 0.21%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2007-37 TS TSFR1M+657.552 6/37                                               | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      16479 | PA      | $1451.88      | 0.00%             | 2037-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 05/15/2042#AA1859                                                   | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2824 | PA      | $2776.23      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2049#FM2077                                                   | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4192782 | PA      | $3714891.23   | 0.55%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 10/40 #AE3832                                                         | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9531 | PA      | $9522.13      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 10/01/2055 #TBA                                                       | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26050000 | PA      | $26545348.57  | 3.97%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.0% 06/20/2042#783637                                                   | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193298 | PA      | $177327.34    | 0.03%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2051#                                                       | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349817 | PA      | $318645.83    | 0.05%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4  | MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM4 5.588% 06/25/2070 144A  | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1366343 | PA      | $1377241.18   | 0.21%             | 2070-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 09/01/2055 #TBA                                                   | CUSIP: 01F032690<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -13200000 | PA      | $-11926922.04 | -1.78%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                     | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     120886 | PA      | $110906.34    | 0.02%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #711223                                                          | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179254 | PA      | $178651.59    | 0.03%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 06/01/2051#QC3131                                                 | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34331 | PA      | $26367.38     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 05/20/2049#BN2615                                                     | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172914 | PA      | $162337.17    | 0.02%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 12/20/2051#MA7767                                                   | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     567254 | PA      | $483344.52    | 0.07%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/01/2051#CB1703                                                   | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27514 | PA      | $26155.30     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 04/01/2051#FM6944                                                   | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     983261 | PA      | $795658.56    | 0.12%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                 | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                        | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12099176 | PA      | $247177.69    | 0.04%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2048#ZN1277                                                   | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39050 | PA      | $37082.22     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/01/2049#CA4406                                                   | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1054433 | PA      | $933260.61    | 0.14%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 09/01/2041#SC0185                                                 | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143184 | PA      | $128318.53    | 0.02%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 09/01/2055 #TBA                                                       | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -35175000 | PA      | $-35876843.26 | -5.36%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2042#AP4319                                                 | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9269 | PA      | $8685.18      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 12/20/2051#785792                                                   | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499483 | PA      | $421852.42    | 0.06%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2349                                                   | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526383 | PA      | $425457.91    | 0.06%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2050#SD0516                                                   | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591816 | PA      | $519737.67    | 0.08%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                   | MNGT SWAP CZ030008 12/17/57 B                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $6646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-33 PK 6% 7/29                                                           | CUSIP: 31359WKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      14448 | PA      | $14708.31     | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/32 #650527                                                          | CUSIP: 31390MVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $187.84       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/01/2051#RA5287                                                   | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79257 | PA      | $63590.24     | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 04/01/2034#G16829                                                   | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90618 | PA      | $87891.59     | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2050#MA4208                                                   | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     975062 | PA      | $782320.38    | 0.12%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 07/01/2032#J37270                                                   | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11972 | PA      | $11689.73     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q33791                                                 | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169188 | PA      | $158522.66    | 0.02%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#BP2186                                                   | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2003647 | PA      | $1770262.93   | 0.26%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3% 2/1/43 #Q15788                                                           | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13239 | PA      | $12178.59     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#Q49738                                                 | CUSIP: 3132WPZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9761 | PA      | $9580.82      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                            | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     181467 | PA      | $151940.78    | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2040#                                                       | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11649 | PA      | $11641.66     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-32 PL 6% 7/29                                                           | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      20347 | PA      | $20734.51     | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #484239                                                          | CUSIP: 36209W4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.79         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 08/01/2041#AI5189                                                 | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1233 | PA      | $1252.84      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 4/32 #638123                                                          | CUSIP: 31389W4G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7150 | PA      | $7655.14      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     500000 | NC      | $33233.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #404745                                                         | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.39        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #726298                                                          | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17888 | PA      | $18168.20     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/32 #644836                                                          | CUSIP: 31390FLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1495 | PA      | $1599.97      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 02/01/2033#BM5108                                                   | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578894 | PA      | $563957.37    | 0.08%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #251298                                                         | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $106.33       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2046#Q40165                                                   | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32666 | PA      | $29337.70     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2042#G07368                                                   | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148784 | PA      | $144623.00    | 0.02%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 10/01/2041#                                                         | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954785 | PA      | $823274.56    | 0.12%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                      | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A              | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $399285.92    | 0.06%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 09/45#MA3106                                                        | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2995 | PA      | $2869.29      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2050#BK2249                                                   | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2064773 | PA      | $1824269.21   | 0.27%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 09/01/2055 #TBA                                                       | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19700000 | PA      | $16126829.76  | 2.41%             | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 05/01/2041#SC0237                                                 | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1168924 | PA      | $1052884.25   | 0.16%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2045#BM4643                                                 | CUSIP: 3140J9ER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82244 | PA      | $82341.48     | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                           | BANK 2021-BNK33 VAR 05/15/2064                                                   | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4920893 | PA      | $198372.04    | 0.03%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 03/20/2043#AD8812                                                     | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43455 | PA      | $39980.28     | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21900                                                 | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7484 | PA      | $7215.33      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                 | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75247 | PA      | $69805.56     | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 10/28 #780881                                                         | CUSIP: 36225A6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        726 | PA      | $737.93       | 0.00%             | 2028-10-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2023-3                         | GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026                               | CUSIP: 379929AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      32896 | PA      | $32936.82     | 0.00%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2052#CB5405                                                 | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366904 | PA      | $354504.41    | 0.05%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 09/01/2055 #TBA                                                     | CUSIP: 21H022697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18225000 | PA      | $15524033.13  | 2.32%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                          | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     253024 | PA      | $220673.15    | 0.03%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 11/32#BJ6650                                                        | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17606 | PA      | $17147.22     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                  | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                   | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     343146 | PA      | $323437.79    | 0.05%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.54% 4/37 #918912                                                      | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6605 | PA      | $6793.99      | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/40 #737177                                                          | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71944 | PA      | $73076.01     | 0.01%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2051#FM5651                                                 | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231247 | PA      | $194062.12    | 0.03%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #719228                                                          | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85155 | PA      | $84858.47     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 08/01/2051#SD2230                                                   | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201362 | PA      | $161558.98    | 0.02%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 6/46#V82414                                                         | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487106 | PA      | $437474.08    | 0.07%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 11/20/2047#784391                                                   | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     789580 | PA      | $728661.16    | 0.11%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3105                                                   | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37477 | PA      | $30303.37     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2039#A89270                                                 | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138492 | PA      | $138542.99    | 0.02%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 9/40 #004800                                                       | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236992 | PA      | $229746.92    | 0.03%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33547                                                 | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     870769 | PA      | $812652.57    | 0.12%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $-2684.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                  | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                 | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     648634 | PA      | $650255.72    | 0.10%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/36 #G02307                                                          | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67096 | PA      | $68176.53     | 0.01%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#MA4466                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2390510 | PA      | $1997146.00   | 0.30%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2502 ZC 6 9/32                                                               | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      16217 | PA      | $16730.33     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 4.01 05/07/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    1900000 | NC      | $68029.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY562346 11/18/64 S                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     499967 | NC      | $-1668.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                      | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                       | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     991712 | PA      | $925062.68    | 0.14%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#FM9777                                                   | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375348 | PA      | $329516.46    | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2                                            | PRET 2025-RPL2 A1 4% 08/25/2064 144A                                             | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1491546 | PA      | $1445806.32   | 0.22%             | 2064-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#SD1924                                                   | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1390743 | PA      | $1388847.97   | 0.21%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 11/01/2035#CA7953                                                 | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283237 | PA      | $254510.78    | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                   | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     221586 | PA      | $190919.66    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 02/20/2043#MA0783                                                   | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149442 | PA      | $139711.08    | 0.02%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/39 #A88305                                                          | CUSIP: 312935GN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1826 | PA      | $1828.01      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/26 #256469                                                          | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $843.25       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                       | MSCS SWAP CY451600 12/16/72 S                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    3100000 | NC      | $11038.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049                                   | CUSIP: 3136BLGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     214937 | PA      | $186072.18    | 0.03%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 1.5% 09/01/2036#CB1715                                                 | CUSIP: 3140QL3Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1504327 | PA      | $1350344.97   | 0.20%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 07/01/2034#FM8940                                                   | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102562 | PA      | $100532.35    | 0.02%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 03/01/2047#BE9249                                                 | CUSIP: 3140FVH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46609 | PA      | $43136.67     | 0.01%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP4410                                                          | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75587 | PA      | $71297.89     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C11 MTG TR                                      | BMO 2025-5C11 MTG TR CSTR 07/15/2058                                             | CUSIP: 096941AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6600000 | PA      | $180962.76    | 0.03%             | 2058-07-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 03/15/2042#733816                                                   | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49799 | PA      | $48187.73     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                            | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     586977 | PA      | $570175.22    | 0.09%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                   | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     220235 | PA      | $189125.30    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 1/1/42 #Q05962                                                    | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99414 | PA      | $96646.45     | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051           | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     277778 | PA      | $239078.03    | 0.04%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR0015                                                 | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43914 | PA      | $40257.53     | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                 | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195596 | PA      | $192636.24    | 0.03%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-160 DY 4% 12/20/2040                                                    | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     295920 | PA      | $290425.32    | 0.04%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 7/26 #D97040                                                     | CUSIP: 3128E3ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $107.12       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                        | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                           | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     137347 | PA      | $135102.30    | 0.02%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 9/39 #G06670                                                          | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20623 | PA      | $22077.49     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 04/01/2045#AY9393                                                 | CUSIP: 3138YPNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75390 | PA      | $72323.34     | 0.01%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 11/01/2053#CB7520                                                 | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583206 | PA      | $611014.47    | 0.09%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 05/01/2042#RB0710                                                 | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92793 | PA      | $82759.08     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.58% 7/35 #995273                                                      | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1130 | PA      | $1162.28      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 4.07 12/19/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2660000 | NC      | $94176.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2032#C91403                                                 | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121385 | PA      | $119600.77    | 0.02%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 02/01/2051#SD7535                                                 | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7009558 | PA      | $5943739.67   | 0.89%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2049#FM1338                                                 | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455110 | PA      | $444138.90    | 0.07%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 11/39 #726095                                                         | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22270 | PA      | $22622.94     | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 11/01/2040#MA4175                                                 | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124563 | PA      | $104418.16    | 0.02%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 08/01/2053#CB6911                                                 | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1359958 | PA      | $1387396.84   | 0.21%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP PAY 3.804 08/25/26                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |     880000 | NC      | $22925.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 07/01/2032#MA3060                                                   | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371175 | PA      | $361833.09    | 0.05%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 09/01/2055 #TBA                                                   | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   14950000 | PA      | $13508142.77  | 2.02%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-74 SV SOFR30A+743.552 11/32                                             | CUSIP: 31392FRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1115 | PA      | $30.50        | 0.00%             | 2032-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                             | DLLAA 2023-1A 5.64% 02/22/2028 144A                                              | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     106000 | PA      | $107228.55    | 0.02%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15400                                                 | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17194 | PA      | $16621.73     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2041#AH5580                                                 | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135859 | PA      | $135709.11    | 0.02%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/40 #A93505                                                          | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74321 | PA      | $74338.38     | 0.01%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 5/33 #A45795                                                          | CUSIP: 3128K6NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27270 | PA      | $28264.96     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 1.5% 11/01/2035#SB8073                                                 | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     518599 | PA      | $466002.05    | 0.07%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 11/01/2054#CB9501                                                   | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305382 | PA      | $317334.10    | 0.05%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2043#Q17518                                                 | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11958 | PA      | $11601.70     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 02/01/2035#AB0067                                                   | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43485 | PA      | $44057.54     | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 08/20/2052#MA8199                                                   | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1811688 | PA      | $1653509.34   | 0.25%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 10/01/2055 #TBA                                                   | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     650000 | PA      | $624736.32    | 0.09%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     350000 | NC      | $55968.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2380 SY SOFR30A+808.552 11/31                                                | CUSIP: 31339GVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       8074 | PA      | $394.87       | 0.00%             | 2031-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 01/20/2049                          | CUSIP: 38381BSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      63535 | PA      | $63148.58     | 0.01%             | 2049-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/35 #A47209                                                         | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5682 | PA      | $5694.84      | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 5/33 #G01785                                                          | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11295 | PA      | $11682.85     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/34#FM0045                                                        | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66020 | PA      | $63799.34     | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 2/41 #004945                                                       | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50861 | PA      | $49290.18     | 0.01%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#                                                         | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17675 | PA      | $15605.21     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/20/2044#MA1600                                                   | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11314 | PA      | $10531.63     | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#FS9368                                                   | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490649 | PA      | $396882.09    | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 05/01/2054#SD7570                                                   | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1132534 | PA      | $1176153.77   | 0.18%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                    | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     731816 | PA      | $720222.78    | 0.11%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2052#QE3536                                                 | CUSIP: 3133BC4V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137126 | PA      | $123964.60    | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 10/01/2054#CB9336                                                   | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748461 | PA      | $777521.65    | 0.12%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2052#RA6988                                                   | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93890 | PA      | $81985.55     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#RA8292                                                   | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160467 | PA      | $160047.96    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 03/01/2050#SD8049                                                 | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     280597 | PA      | $236178.07    | 0.04%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                  | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                   | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $402041.40    | 0.06%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                            | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                   | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     772269 | PA      | $764123.42    | 0.11%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 9/37 #889631                                                          | CUSIP: 31410KLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $887.83       | 0.00%             | 2038-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#FS9709                                                   | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954033 | PA      | $844696.54    | 0.13%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                  | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                        | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     104226 | PA      | $104820.51    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2042#794219                                                 | CUSIP: 36177NVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74394 | PA      | $72050.50     | 0.01%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                         | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                         | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     584387 | PA      | $587421.71    | 0.09%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 07/01/2041#                                                         | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17236 | PA      | $14900.69     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                          | BANK5 2025-5YR14 5.646% 04/15/2058                                               | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $734086.43    | 0.11%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP PAY 4.01 12/20/29                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    2000000 | NC      | $66381.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 02/01/2041#RB5099                                                 | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131684 | PA      | $110103.43    | 0.02%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 05/01/2051#CB0443                                                 | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1141943 | PA      | $967951.07    | 0.14%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H19 FG TSFR1M+41.448 8/60                                               | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      13451 | PA      | $13412.09     | 0.00%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 05/01/2039#FM1194                                                 | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364884 | PA      | $365893.69    | 0.05%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 09/01/2030#                                                       | CUSIP: 31283HHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $207.33       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-31 ZC 6.5% 7/31                                                         | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6514 | PA      | $6610.75      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2044#Q27808                                                 | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4172 | PA      | $4049.85      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #783008                                                          | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83715 | PA      | $83320.06     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK3455                                                          | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30394 | PA      | $29578.30     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                 | MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A                                  | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340811 | PA      | $340811.00    | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 05/01/2031#                                                       | CUSIP: 31298MDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2376 | PA      | $2480.60      | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 09/01/2048#ZS4788                                                   | CUSIP: 3132A5J97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     640736 | PA      | $567704.96    | 0.08%             | 2048-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                      | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                        | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     228424 | PA      | $228628.70    | 0.03%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                           | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     181138 | PA      | $163155.48    | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT1745                                                    | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73938 | PA      | $69427.51     | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 08/01/2055#RJ4642                                                   | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1869467.22   | 0.28%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                        | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                        | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     548029 | PA      | $533307.66    | 0.08%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNMA 2004-24 ZM 5% 04/34                                                         | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      45857 | PA      | $45878.78     | 0.01%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -81 | NC      | $-43803.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM RFT1Y+190 9 10/42#849255                                                | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6636 | PA      | $6895.76      | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/39 #704628                                                          | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27674 | PA      | $28105.91     | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-16 ZD 6.50% 4/32                                                        | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       5429 | PA      | $5633.38      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 01/01/2052#SD0892                                                   | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42909 | PA      | $34735.94     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                         | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                           | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1315000 | PA      | $1327495.13   | 0.20%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 01/01/2051#SD8120                                                 | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2344493 | PA      | $1779386.63   | 0.27%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 01/46#MA3377                                                        | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19379 | PA      | $18532.36     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55725                                                   | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22697 | PA      | $21602.03     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 12/20/2050#MA7051                                                     | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4105209 | PA      | $3361739.07   | 0.50%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/01/2052#CB4669                                                   | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43301 | PA      | $41118.76     | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97528                                                          | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17673 | PA      | $17671.78     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2052#CB3247                                                   | CUSIP: 3140QNTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1393811 | PA      | $1208375.75   | 0.18%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3.5% 07/01/2034#BO1835                                                 | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50847 | PA      | $49858.46     | 0.01%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/27 #455361                                                         | CUSIP: 36208MZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.78       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 4683 LM 3% 05/15/2047                                                        | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     166437 | PA      | $160528.52    | 0.02%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 02/01/2052#FS8764                                                   | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993913 | PA      | $804278.37    | 0.12%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                     | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     142106 | PA      | $20382.10     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 07/15/2043#AD2512                                                 | CUSIP: 36180DYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9760 | PA      | $8871.11      | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2042#AL2266                                                 | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227734 | PA      | $214914.73    | 0.03%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 04/01/2042#SC0270                                                 | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89978 | PA      | $80177.08     | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 04/15/2043                                     | CUSIP: 3137BVEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1378 | PA      | $1375.67      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/42#G60488                                                        | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65403 | PA      | $63669.69     | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2052#CB2924                                                   | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18897 | PA      | $17944.64     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 12/26 #442193                                                         | CUSIP: 36207UGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $10.13        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 07/01/2040#CA6462                                                 | CUSIP: 3140QEFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184283 | PA      | $165860.58    | 0.02%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 11/01/2040#AB1801                                                 | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119779 | PA      | $116625.70    | 0.02%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                     | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2041932 | PA      | $1804629.67   | 0.27%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/01/2039#AW0113                                                   | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21358 | PA      | $20841.70     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 10/01/2041#RB5131                                                   | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17946 | PA      | $15474.68     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHR 2043 CJ 6.5% 4/28                                                            | CUSIP: 3133TDML7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6605 | PA      | $6680.92      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #737532                                                         | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7431 | PA      | $7214.86      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 09/01/2053#QH0300                                                 | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82201 | PA      | $86120.30     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.472% 12/01/2040#AE0653                                                | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107472 | PA      | $111944.04    | 0.02%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                          | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     182084 | PA      | $160095.66    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 04/01/2051#SD8139                                                 | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1849817 | PA      | $1403945.54   | 0.21%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #719216                                                          | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42316 | PA      | $42176.07     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 07/01/2054#CB8875                                                 | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     713007 | PA      | $740430.89    | 0.11%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/46#AS7009                                                        | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11456 | PA      | $10575.95     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 2/42 #005306                                                       | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1460 | PA      | $1451.81      | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                             | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                              | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     410000 | PA      | $410490.11    | 0.06%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/26 #780299                                                          | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.78         | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2162 PH 6 6/29                                                               | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1725 | PA      | $1754.07      | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 12/20/2045#MA3311                                                     | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24973 | PA      | $23882.43     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                              | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                 | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     264159 | PA      | $264749.05    | 0.04%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 08/01/2032#J37452                                                   | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9424 | PA      | $9199.84      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US LONG BOND(CBT) FUT DEC25 USZ5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         24 | NC      | $17920.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 10/01/2050#CA7229                                                 | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454527 | PA      | $385415.24    | 0.06%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1               | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $400486.16    | 0.06%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 07/20/2052#MA8149                                                   | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3163601 | PA      | $2887386.48   | 0.43%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 01/20/2045#MA2523                                                   | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2447 | PA      | $2419.95      | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 04/01/2052#FS8195                                                   | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2247475 | PA      | $1799703.14   | 0.27%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 05/46#MA3665                                                        | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3551 | PA      | $3522.45      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/41 #738002                                                          | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13197 | PA      | $12810.39     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#FM9517                                                 | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013633 | PA      | $851271.82    | 0.13%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                 | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24939 | PA      | $19153.96     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 05/20/2052#MA8043                                                     | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8334957 | PA      | $7386865.96   | 1.10%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#CA6275                                                   | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611079 | PA      | $493341.80    | 0.07%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #468760                                                          | CUSIP: 36209DWV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $53.72        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-73 SA SOFR30A+1725.235 8/35                                             | CUSIP: 31394EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1071 | PA      | $1131.58      | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2052#SD2219                                                   | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     809041 | PA      | $708483.69    | 0.11%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/30 #590851                                                          | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19422 | PA      | $20420.97     | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                 | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     304194 | PA      | $318888.34    | 0.05%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                          | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     217254 | PA      | $213849.92    | 0.03%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 03/20/2043#AA6146                                                     | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105280 | PA      | $96785.42     | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 10/01/2055 #TBA                                                       | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7250000 | PA      | $5933584.88   | 0.89%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                     | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     143845 | PA      | $135309.27    | 0.02%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 09/20/2050#MA6864                                                     | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1501848 | PA      | $1230678.31   | 0.18%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                           | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                         | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     258248 | PA      | $252366.30    | 0.04%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C            | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A             | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1005369.00   | 0.15%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 01/01/2041#AH1582                                                 | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4599 | PA      | $4485.90      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                         | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                           | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     482028 | PA      | $460889.56    | 0.07%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                   | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     167811 | PA      | $147131.39    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3.25% 03/25/2049                                  | CUSIP: 3136BMAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     264726 | PA      | $248335.25    | 0.04%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 09/20/2043#MA1285                                                   | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29127 | PA      | $27167.85     | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2042#AP0495                                                 | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12156 | PA      | $11438.02     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2048#FS8330                                                   | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855961 | PA      | $767493.19    | 0.11%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 04/01/2045#AY8060                                                 | CUSIP: 3138YM5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51406 | PA      | $49323.18     | 0.01%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                     | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      31935 | PA      | $632.64       | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2043#AU2962                                                 | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50824 | PA      | $46604.89     | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 10/01/2054#RJ2642                                                   | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     794679 | PA      | $825534.13    | 0.12%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 11/01/2054#RJ2748                                                   | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     667127 | PA      | $690736.39    | 0.10%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96876                                                          | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21525 | PA      | $21533.51     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 5.5% 05/01/2053#RA9058                                                 | CUSIP: 3133KRB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1515866 | PA      | $1545029.42   | 0.23%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.967% 8/41#AI8879                                                      | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7523 | PA      | $7837.52      | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/01/2046#BD7599                                                   | CUSIP: 3140FFNR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33537 | PA      | $31951.45     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                 | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     940761 | PA      | $986426.43    | 0.15%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3189 PD 6% 7/36                                                              | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30014 | PA      | $31387.94     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2039#AS2011                                                   | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17034 | PA      | $16625.35     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 08/20/2043#MA1224                                                   | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10586 | PA      | $9880.07      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                            | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77968 | PA      | $76212.99     | 0.01%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 04/01/2041#RB5107                                                 | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135838 | PA      | $113397.72    | 0.02%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-52 YZ 6.5% 10/31                                                        | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3084 | PA      | $3199.71      | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2050#CA6312                                                   | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     887676 | PA      | $782338.17    | 0.12%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/41 #Q00736                                                          | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21500 | PA      | $21472.82     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2044#MA2149                                                   | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26927 | PA      | $25872.35     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                           | BX TR 2025-TAIL A VAR 06/15/2035 144A                                            | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168000 | PA      | $168210.00    | 0.03%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK8237                                                          | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130159 | PA      | $126447.55    | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/28 #404244                                                          | CUSIP: 36205YBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $175.54       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 01/01/2037#FS0216                                                   | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2154095 | PA      | $1994044.02   | 0.30%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 02/01/2029#                                                         | CUSIP: 31293KQ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        564 | PA      | $576.75       | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                 | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     498540 | PA      | $522466.47    | 0.08%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 01/01/2052#SD2072                                                   | CUSIP: 3132DPJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168878 | PA      | $136498.27    | 0.02%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP REC 3.753 10/31/29                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    4600000 | NC      | $132505.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 2/37 #A57709                                                          | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1674 | PA      | $1773.74      | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1322409 | PA      | $1331922.98   | 0.20%             | 2054-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                       | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      80000 | NC      | $12792.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                      | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     693770 | PA      | $696291.76    | 0.10%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 11/01/2040#                                                         | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14452 | PA      | $12570.38     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 01/20/2052#785831                                                   | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     489480 | PA      | $413403.65    | 0.06%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55661                                                   | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20500 | PA      | $19511.14     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                   | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      95480 | PA      | $79550.39     | 0.01%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 4/35 #820389                                                          | CUSIP: 31406UNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        425 | PA      | $449.47       | 0.00%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2046#BD5247                                                 | CUSIP: 3140FCZM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74967 | PA      | $69452.89     | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 10/01/2055 #TBA                                                       | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9050000 | PA      | $8013436.53   | 1.20%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 01/01/2054#CB7801                                                 | CUSIP: 3140QTU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720298 | PA      | $754585.99    | 0.11%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 359 19 6% 7/35                                                               | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6132 | PA      | $1068.47      | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#CB2289                                                 | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1534304 | PA      | $1288543.58   | 0.19%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/01/2046#Q45023                                                 | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88574 | PA      | $81997.97     | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 01/20/2055#787767                                                   | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     840893 | PA      | $852976.13    | 0.13%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 6/1/52#CB3766                                                       | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296214 | PA      | $278603.15    | 0.04%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3.5% 07/01/2034#CA3925                                                 | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154657 | PA      | $151650.70    | 0.02%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#FM9505                                                 | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     772021 | PA      | $648843.02    | 0.10%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB12 LLC                                        | CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A                                         | CUSIP: 12530QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       7270 | PA      | $7261.44      | 0.00%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 03/01/2055#SD8515                                                 | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2632745 | PA      | $2648840.87   | 0.40%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 11/40 #AE3874                                                         | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27825 | PA      | $27793.66     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2046#G60553                                                 | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     970931 | PA      | $903393.67    | 0.13%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                          | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     150000 | NC      | $23986.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 04/20/2052#MA7988                                                     | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2897311 | PA      | $2567744.98   | 0.38%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                     | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      12766 | PA      | $826.73       | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                   | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     431347 | PA      | $431829.33    | 0.06%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 09/01/2055 #TBA                                                     | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -100000 | PA      | $-96281.95    | -0.01%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 04/01/2037#QO0016                                                   | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250373 | PA      | $239759.64    | 0.04%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #486530                                                          | CUSIP: 36210APP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        964 | PA      | $971.54       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                          | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      19654 | PA      | $18473.36     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AD2454                                                 | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33515 | PA      | $30602.33     | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 10/01/2052#SD1772                                                   | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     989273 | PA      | $935712.15    | 0.14%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2049#BO4757                                                   | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1480252 | PA      | $1305982.96   | 0.20%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                  | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                    | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $196507.40    | 0.03%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3% 09/01/2055 #TBA                                                     | CUSIP: 01F030694<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -4400000 | PA      | $-3812187.28  | -0.57%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 01/01/2051#MA4239                                                   | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532630 | PA      | $466595.11    | 0.07%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                              | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     447998 | PA      | $441876.00    | 0.07%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 09/01/2035#FS0112                                                   | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220376 | PA      | $215321.23    | 0.03%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17578                                                 | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29778 | PA      | $28107.70     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer