# EDGAR Filing Document

**Accession Number:** 0001450011
**File Stem:** 0001450011-25-000518
**Filing Date:** 2025-8
**Character Count:** 384801
**Document Hash:** 75f7f9ef3b5eb1da6010b159f4666aba
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001450011-25-000518.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001450011-25-000518

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO ETF Trust
- **CENTRAL INDEX KEY:** 0001450011

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22250
- **FILM NUMBER:** 251277504

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949.720.6000

**MAIL ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (Series ID: S000085048)

| Class ID   | Class Name                                                   | Ticker Symbol   |
|:---|:---|:---|
| C000249911 | PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO ETF Trust

- **b. Investment Company Act file number:** 811-22250

- **c. CIK number of Registrant:** 0001450011

- **d. LEI of Registrant:** 5493004M9TBGFQUJ6D27

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

  - **Street Address 1:** 650 Newport Center Drive

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 400-4383

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

- **a. Name of Series:** PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund

- **b. EDGAR series identifier (if any):** S000085048

- **c. LEI of Series:** 2549001WTPP9QU7A6W04

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1768517914.60

**Total Liabilities:** $1234708430.41

**Net Assets:** $533809484.19

**Delayed Delivery Securities:** $13358330.63

**Cash Not Reported:** $2786565.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7015.464500 | **1-Year:** 76821.856300 | **5-Year:** 238807.833400 | **10-Year:** 55826.108600 | **30-Year:** 599.519800

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

- **3-Month:** 154.573900 | **1-Year:** 186.092000 | **5-Year:** 1377.098600 | **10-Year:** 491.573400 | **30-Year:** 15.609100

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000249911 | 0.10%                | -0.86%               | 1.93%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2278359.11             | $799789.71                                 |
| Month 2  | $-1897535.79             | $-5880623.15                               |
| Month 3  | $-123993.64              | $8484256.35                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Fixed Rate Total Return Index Value Unhedged USD

- **Index Identifier:** LD10TRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FANNIE MAE REMICS 2024-59                                         | FANNIE MAE FNR 2024 59 FC                              | CUSIP: 3136BSE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6679869 | PA      | $6674690.98    | 1.25%             | 2054-09-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 AF         | CUSIP: 38376RYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105857 | PA      | $106149.17     | 0.02%             | 2066-09-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782885 GN 12/39 FIXED 5.5                    | CUSIP: 36241LF27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24641 | PA      | $25692.06      | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 429790 GN 12/33 FIXED 6.5                    | CUSIP: 36207ENF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34937 | PA      | $36135.41      | 0.01%             | 2033-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-37                                         | FANNIE MAE FNR 2018 37 BC                              | CUSIP: 3136B17E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12942 | PA      | $12230.40      | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAIE WHOLE LOAN 2002-W2                                     | FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1                   | CUSIP: 31392CEQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25024 | PA      | $24533.54      | 0.00%             | 2032-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02998 FG 05/37 FIXED 6              | CUSIP: 3128M4UX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15701 | PA      | $16485.46      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ8794 FR 11/54 FIXED 5              | CUSIP: 3133D0XX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21095763 | PA      | $20745020.32   | 3.89%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0167 FN 02/57 FIXED 3                      | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     250101 | PA      | $218151.51     | 0.04%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2811 FH 03/35 FLOATING VAR         | CUSIP: 3128JNAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        933 | PA      | $952.68        | 0.00%             | 2035-03-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 09/25 0.00000                            | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     882000 | PA      | $874001.24     | 0.16%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3339 FN 11/30 FIXED 5.2                    | CUSIP: 3140NXV91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     757000 | PA      | $782283.31     | 0.15%             | 2030-11-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 688960 FN 04/33 FLOATING VAR                 | CUSIP: 31400JMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6075 | PA      | $6241.47       | 0.00%             | 2033-04-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $1980967.45    | 0.37%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9962 FN 07/43 FIXED 4                      | CUSIP: 31417HB86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     515464 | PA      | $496746.53     | 0.09%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE0034 G2 12/47 FIXED 3.5                 | CUSIP: 3617BTBB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11175 | PA      | $10309.04      | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-1                                          | FANNIE MAE FNR 2015 1 SJ                               | CUSIP: 3136AMLP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     328291 | PA      | $211668.36     | 0.04%             | 2043-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93RA6 PIMCO FPPSWAPTION 4.31 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1500000 | NC      | $95681.10      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A                  | LA HIPOTECARIA SA LHIPO 2014 1A A1 144A                | CUSIP: 50346EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     426886 | PA      | $407638.74     | 0.08%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD5492 G2 11/47 FIXED 3.5                 | CUSIP: 3617BMC54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8566 | PA      | $7901.86       | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5            | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16693 | PA      | $16947.21      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931155 FN 05/39 FIXED 4                      | CUSIP: 31412PQG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243084 | PA      | $235516.41     | 0.04%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6700000 | PA      | $6710886.09    | 1.26%             | 2054-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8812 G2 04/48 FIXED 4                   | CUSIP: 3617B0YH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38672 | PA      | $36139.78      | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ1565 FN 10/41 FIXED 4                      | CUSIP: 3138ASW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     599984 | PA      | $577922.05     | 0.11%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50 | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ50 A2            | CUSIP: 3137HDV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $787341.84     | 0.15%             | 2034-10-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ5549 FR 09/54 FIXED 6              | CUSIP: 3133CWEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8721127 | PA      | $9039123.49    | 1.69%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX2595 FR 12/54 FIXED 6              | CUSIP: 31425W3D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6100233 | PA      | $6219483.74    | 1.17%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A       | CUSIP: 3137G1BL0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     222294 | PA      | $196023.14     | 0.04%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C      | CUSIP: 92922FWV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27156 | PA      | $26213.56      | 0.00%             | 2044-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30462 FG 08/26 FIXED 6              | CUSIP: 3128CUQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1565 | PA      | $1591.88       | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0873 FR 04/55 FIXED 6              | CUSIP: 31427M6K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289740 | PA      | $298451.33     | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A85470 FG 04/39 FIXED 4.5            | CUSIP: 312932CF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86566 | PA      | $86513.28      | 0.02%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2718 FN 05/47 FIXED 4                      | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127822 | PA      | $121115.57     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H27                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H27 FA         | CUSIP: 38376RHR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     456183 | PA      | $457010.00     | 0.09%             | 2065-09-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0897 FR 03/55 FIXED 5              | CUSIP: 31427M7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2681974 | PA      | $2638163.55    | 0.49%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-77                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 77 EZ          | CUSIP: 38376UTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238247 | PA      | $159804.41     | 0.03%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A    | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140572 | PA      | $115129.21     | 0.02%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98WA9 PIMCO FPPSWAPTION 4.285 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $93621.44      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                 | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99390 | PA      | $90578.92      | 0.02%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2018 FN 10/29 FIXED 3.8                    | CUSIP: 3140NWG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     735000 | PA      | $725102.16     | 0.14%             | 2029-10-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK3180 FN 03/48 FIXED 3.5                    | CUSIP: 3140HGRA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136369 | PA      | $125172.79     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3141 FN 03/30 FIXED 5.05                   | CUSIP: 3140NXP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14677000 | PA      | $15123057.51   | 2.83%             | 2030-03-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1         | CUSIP: 05946XXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17978 | PA      | $16650.42      | 0.00%             | 2035-05-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22200000 | PA      | $22539715.94   | 4.22%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TRUST 2006-AR5                            | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2      | CUSIP: 39538AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111880 | PA      | $102404.11     | 0.02%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3C9 OTC EPUT FN 5.5 SEP25 96.7382812 PUT         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3000000 | NC      | $2823.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                         | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                     | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        742 | PA      | $730.33        | 0.00%             | 2027-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4643 FN 05/42 FIXED 3                      | CUSIP: 31418EER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156388 | PA      | $142422.78     | 0.03%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4805 FN 05/53 FIXED VAR                    | CUSIP: 3140XLKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5535179 | PA      | $5542836.14    | 1.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02681 FG 02/37 FIXED 6              | CUSIP: 3128M4J20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1336 | PA      | $1402.78       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A86255 FG 05/39 FIXED 5              | CUSIP: 3129325Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8247 | PA      | $8368.51       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H04                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H04 FB         | CUSIP: 38376RRA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38729 | PA      | $38826.88      | 0.01%             | 2066-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XII LTD                                              | TRINITAS CLO LTD TRNTS 2020 12A A1R 144A               | CUSIP: 89641GAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500681.30     | 0.09%             | 2033-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-25                                                | FANNIE MAE FNR 2002 25 FX                              | CUSIP: 31392C6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18417 | PA      | $18548.31      | 0.00%             | 2032-04-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QSK6 OTC ECAL FN 4.5 JUL25 96.46875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-559.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CVA1 PIMCO FPPSWAPTION 4.63 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $90372.64      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA6424 FN 07/50 FIXED 3                      | CUSIP: 3140QED66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     412312 | PA      | $358324.39     | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3310 G2 12/45 FIXED 3.5                 | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182180 | PA      | $169424.06     | 0.03%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61254 FG 01/48 FIXED 4              | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43229 | PA      | $40992.28      | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                  | FREDDIE MAC FHR 4836 PO                                | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208107 | PA      | $128291.14     | 0.02%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EMA7 PIMCO SWAPTION 3.67 CALL USD 2025082         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-59744.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | DEUTSCHE BANK REPO REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    8700000 | PA      | $8700000.00    | 1.63%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 678950 GN 10/37 FIXED 6.5                    | CUSIP: 36295SH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105739 | PA      | $111160.81     | 0.02%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AY5650 FN 06/30 FIXED 3                      | CUSIP: 3138YKH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31940 | PA      | $31225.17      | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01967 FG 11/30 FIXED 5.5            | CUSIP: 3128LXFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $223.16        | 0.00%             | 2030-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050478<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5200000 | PA      | $5238168.47    | 0.98%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737648 GN 11/40 FIXED 4.5                    | CUSIP: 3620ARP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1884 | PA      | $1834.72       | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3795 FN 05/35 FIXED 4.97                   | CUSIP: 3140NYGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4798382 | PA      | $4896259.07    | 0.92%             | 2035-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0793 FR 02/55 FIXED 5              | CUSIP: 31427M3B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1417792 | PA      | $1394220.33    | 0.26%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                          | FANNIE MAE FNR 2025 6 GF                               | CUSIP: 3136BUVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20295892 | PA      | $20396243.13   | 3.82%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS4556 FN 03/40 FIXED 3.5                    | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42673 | PA      | $40174.53      | 0.01%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 794277 FN 09/34 FIXED 5.5                    | CUSIP: 31405NM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22893 | PA      | $23067.87      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9966 FN 08/43 FIXED VAR                    | CUSIP: 3140XECC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3203558 | PA      | $3008059.83    | 0.56%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8736 FN 01/49 FIXED 4.5                    | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37743 | PA      | $36706.70      | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 827785 FN 05/35 FLOATING VAR                 | CUSIP: 31407DUJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $638.32        | 0.00%             | 2035-05-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT6303 FN 06/43 FIXED 4                      | CUSIP: 3138WUAD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193129 | PA      | $186216.61     | 0.03%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-81                                         | FANNIE MAE FNR 2015 81 NZ                              | CUSIP: 3136AQPM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100196 | PA      | $77371.67      | 0.01%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3060 FN 07/32 FIXED 3                      | CUSIP: 31418CMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126089 | PA      | $122601.40     | 0.02%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677094 GN 07/38 FIXED 6.5                    | CUSIP: 36295QGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4404 | PA      | $4600.10       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69945 FG 12/37 FIXED 5.5            | CUSIP: 3128L2BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29101 | PA      | $29811.91      | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                                         | FANNIE MAE FNR 2015 10 SA                              | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84919 | PA      | $4727.42       | 0.00%             | 2045-03-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08789 FG 11/47 FIXED 4              | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48826 | PA      | $46440.55      | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3898 FN 11/26 FIXED 3                      | CUSIP: 31417AKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24111 | PA      | $23847.64      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                         | FANNIE MAE FNR 2015 58 AI                              | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41270 | PA      | $2322.45       | 0.00%             | 2055-08-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841837 FN 07/35 FLOATING VAR                 | CUSIP: 31407VHN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12756 | PA      | $13235.94      | 0.00%             | 2035-07-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569830 GN 06/32 FIXED 6.5                    | CUSIP: 36200RA77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $136.03        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-4832                                                  | FREDDIE MAC FHR 4832 FW                                | CUSIP: 3137FHRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179170 | PA      | $176909.76     | 0.03%             | 2038-04-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QWZ8 OTC EPUT FN 6.0 AUG25 98.27734375 PUT        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $94.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 783104 FH 04/35 FLOATING VAR         | CUSIP: 31349UNV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8496 | PA      | $8809.05       | 0.00%             | 2035-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2432 FH 09/35 FLOATING VAR         | CUSIP: 3128JMSW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35654 | PA      | $36141.08      | 0.01%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17834 FG 01/27 FIXED 3              | CUSIP: 3128PXV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2763 | PA      | $2733.25       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17813 FG 01/27 FIXED 3              | CUSIP: 3128PXVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17001 | PA      | $16819.31      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QVA4 OTC EPUT FN 5.0 JUL25 95.2890625 PUT         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $3.80          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX7940 FN 01/45 FIXED 4                      | CUSIP: 3138Y9ZE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58290 | PA      | $55307.99      | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4462                                           | FREDDIE MAC FHR 4462 KG                                | CUSIP: 3137BHJA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120084 | PA      | $111750.13     | 0.02%             | 2045-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8166 FN 02/46 FIXED VAR                    | CUSIP: 3138ETCC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     956722 | PA      | $890289.87     | 0.17%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                            | FREDDIEMAC STRIP FHS 303 C19                           | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150965 | PA      | $25101.94      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2338 FN 11/46 FIXED VAR                    | CUSIP: 3140XHS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     647980 | PA      | $585472.67     | 0.11%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3188 FN 11/32 FIXED 3                      | CUSIP: 31418CRJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110397 | PA      | $107347.27     | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9976 FN 02/55 FIXED 5.5                    | CUSIP: 3140QWCN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2258415 | PA      | $2259545.83    | 0.42%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A36345 FG 08/35 FIXED 5              | CUSIP: 31297SBN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10818 | PA      | $10985.11      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A AV                      | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4539 | PA      | $4501.45       | 0.00%             | 2032-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08035 FG 01/35 FIXED 5              | CUSIP: 3128MJBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47408 | PA      | $48138.30      | 0.01%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2903 FN 02/32 FIXED 3                      | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43562 | PA      | $42399.51      | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3794 FN 05/35 FIXED 5.23                   | CUSIP: 3140NYGC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1099147 | PA      | $1140079.55    | 0.21%             | 2035-05-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042475<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3180096.16    | 0.60%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C04444 FG 01/43 FIXED 3              | CUSIP: 31292L5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33705 | PA      | $30535.77      | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-92                                         | FANNIE MAE FNR 2014 92 SB                              | CUSIP: 3136AMEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24142 | PA      | $1323.89       | 0.00%             | 2045-01-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3250 FN 03/30 FIXED 5.16                   | CUSIP: 3140NXTG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10377000 | PA      | $10713336.94   | 2.01%             | 2030-03-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8298 FN 04/54 FIXED 6                      | CUSIP: 3140QUGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1209175 | PA      | $1243953.45    | 0.23%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN8898 FN 05/34 FIXED 3.5                    | CUSIP: 3140JR3G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     308675 | PA      | $303617.31     | 0.06%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A  | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     526662 | PA      | $288670.43     | 0.05%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2234 FN 08/38 FIXED 4                      | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27477 | PA      | $27188.46      | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03268 FG 09/37 FIXED 6              | CUSIP: 3128M46D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29946 | PA      | $31442.78      | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FA         | CUSIP: 38380QFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245857 | PA      | $242853.57     | 0.05%             | 2070-06-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | 3138GI9B6 Y                                            | CUSIP: 957HHCII4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4500000 | PA      | $4462664.90    | 0.84%             | 2032-08-01      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0244 G2 07/47 FIXED 3.5                 | CUSIP: 3617AQHV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11439 | PA      | $10552.94      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8097 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125000 | PA      | $125055.57     | 0.02%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX6465 G2 04/47 FIXED 3.5                 | CUSIP: 36196JFE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12468 | PA      | $11502.13      | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EFA5 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $105914.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                         | FANNIE MAE FNR 2014 47 BI                              | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56731 | PA      | $3005.85       | 0.00%             | 2054-08-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3504 FN 05/33 FIXED 5.23                   | CUSIP: 3140NX3N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1716000 | PA      | $1784316.31    | 0.33%             | 2033-05-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-9                                                 | FANNIE MAE FNR 2002 9 FH                               | CUSIP: 31392BD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29936 | PA      | $29895.84      | 0.01%             | 2032-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888382 FN 07/35 FLOATING VAR                 | CUSIP: 31410F6T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6110 | PA      | $6247.87       | 0.00%             | 2035-07-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698386 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27333 | PA      | $26884.00      | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831599 FN 07/36 FIXED 6                      | CUSIP: 31407H3G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228596 | PA      | $239760.21     | 0.04%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                  | FREDDIE MAC FHR 2395 FT                                | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17147 | PA      | $17107.17      | 0.00%             | 2031-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B7A0 PIMCO FPPSWAPTION 4.43 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1500000 | NC      | $91391.55      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3703 FN 05/49 FIXED 3                      | CUSIP: 31418DDH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     318565 | PA      | $274698.82     | 0.05%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7408 FR 01/55 FIXED 5.5            | CUSIP: 3132DVGR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4673639 | PA      | $4702711.17    | 0.88%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3816 FN 05/35 FIXED 5.18                   | CUSIP: 3140NYG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1993407 | PA      | $2063247.84    | 0.39%             | 2035-05-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                                           | FREDDIE MAC FHR 3635 IB                                | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10236 | PA      | $504.17        | 0.00%             | 2037-10-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809593 FN 02/35 FLOATING VAR                 | CUSIP: 31406GNJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4035 | PA      | $4109.54       | 0.00%             | 2035-02-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                           | FREDDIE MAC FHR 4324 IO                                | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15290 | PA      | $984.22        | 0.00%             | 2036-08-15      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                           | FREDDIE MAC FHR 5500 FW                                | CUSIP: 3137HJAV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9348863 | PA      | $9377563.91    | 1.76%             | 2054-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK         | CUSIP: 38376RRL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136420 | PA      | $137120.36     | 0.03%             | 2066-03-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 425968 GN 03/26 FIXED 6.5                    | CUSIP: 36207AFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.25         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC         | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     724205 | PA      | $723274.64     | 0.14%             | 2074-02-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3493 FN 05/35 FIXED VAR                    | CUSIP: 3140X63B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142247 | PA      | $139743.11     | 0.03%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM8603 G2 04/47 FIXED 3                   | CUSIP: 3617YURY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105061 | PA      | $92845.54      | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3Q8 OTC ECAL FN 4.5 SEP25 96.71875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-21015.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 INV2 A11 144A  | CUSIP: 64831GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     736583 | PA      | $690354.72     | 0.13%             | 2051-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5            | CUSIP: 3132A9UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     326475 | PA      | $312959.44     | 0.06%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U96ZA0 PIMCO FPPSWAPTION 4.265 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $90844.04      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735355 FN 02/35 FLOATING VAR                 | CUSIP: 31402Q5Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2592 | PA      | $2691.91       | 0.00%             | 2035-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 933161 FN 11/37 FIXED 6.5                    | CUSIP: 31412SFA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10850 | PA      | $11326.19      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03551 FG 11/37 FIXED 6              | CUSIP: 3128M5H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $775.16        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735942 FN 07/35 FLOATING VAR                 | CUSIP: 31402RS75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3403 | PA      | $3482.79       | 0.00%             | 2035-07-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4094 FN 06/53 FIXED 6                      | CUSIP: 3140NLRQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177162 | PA      | $183620.37     | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17848 FG 01/27 FIXED 3              | CUSIP: 3128PXWH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9005 | PA      | $8906.89       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5            | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8999104 | PA      | $9301062.69    | 1.74%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8096 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188000 | PA      | $188081.90     | 0.04%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 08/25 0.00000                            | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      33000 | PA      | $32826.62      | 0.01%             | 2025-08-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22200000 | PA      | $21237759.87   | 3.98%             | 2054-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FN DUS POOL SHERIDAN PLAZA 3138F7913                   | CUSIP: 957HCZII8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1834000 | PA      | $1823034.57    | 0.34%             | 2030-07-01      | Fixed         | 4.19%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 442324 FN 10/28 FLOATING VAR                 | CUSIP: 31380KLD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $960.29        | 0.00%             | 2028-10-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1314 FN 01/48 FIXED 4                      | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30601 | PA      | $29019.37      | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04503 FG 11/35 FIXED 5.5            | CUSIP: 3128M6KQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39724 | PA      | $41068.25      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9380 FN 04/31 FIXED VAR                    | CUSIP: 3138ERM64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197985 | PA      | $193621.35     | 0.04%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0383 FN 04/59 FIXED 4.5                    | CUSIP: 3140FXM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     589748 | PA      | $565060.70     | 0.11%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6817.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -91447712 | PA      | $-91663452.28  | -17.17%           |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-33                                                | FANNIE MAE FNR 2007 33 MF                              | CUSIP: 31396VGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     189041 | PA      | $185238.88     | 0.03%             | 2037-04-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686777 GN 06/38 FIXED 6.5                    | CUSIP: 36296B6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12707 | PA      | $13271.60      | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF         | CUSIP: 38380QMV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     628035 | PA      | $638978.10     | 0.12%             | 2070-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                         | FANNIE MAE FNR 2015 19 AI                              | CUSIP: 3136ANJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64342 | PA      | $3182.61       | 0.00%             | 2055-04-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA9807 G2 07/47 FIXED 3.5                 | CUSIP: 3617AN3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11623 | PA      | $10722.01      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) SEP25 XCBT 20250930                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          9 | NC      | $10710.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4150                                           | FREDDIE MAC FHR 4150 SB                                | CUSIP: 3137AYAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     848472 | PA      | $101033.17     | 0.02%             | 2043-01-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                         | FANNIE MAE FNR 2015 64 KS                              | CUSIP: 3136AP3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25150 | PA      | $1024.34       | 0.00%             | 2045-09-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01818 FG 05/35 FIXED 5              | CUSIP: 3128LXAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49839 | PA      | $50606.49      | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032476<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1061640.90    | 0.20%             | 2039-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1296 FN 08/51 FIXED VAR                    | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1802765 | PA      | $1738168.00    | 0.33%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR         | CUSIP: 31336CLR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1958 | PA      | $2006.42       | 0.00%             | 2034-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                          | FANNIE MAE FNR 2021 3 TI                               | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     551840 | PA      | $93046.73      | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5            | CUSIP: 3128M5ED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        898 | PA      | $926.35        | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AR3716 GN 12/45 FIXED 3.5                    | CUSIP: 36192YDV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146016 | PA      | $136190.10     | 0.03%             | 2045-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5296 FN 03/54 FIXED 5.5                    | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4418965 | PA      | $4422211.26    | 0.83%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                     | GSAA HOME EQUITY TRUST GSAA 2007 4 A3A                 | CUSIP: 3622EBAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169771 | PA      | $67304.78      | 0.01%             | 2037-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW6683 FN 06/44 FIXED 4                      | CUSIP: 3138XWM96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69558 | PA      | $66343.58      | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FE         | CUSIP: 38380LCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4404 | PA      | $4405.14       | 0.00%             | 2068-02-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890362 FN 08/41 FIXED VAR                    | CUSIP: 31410LFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123076 | PA      | $122560.29     | 0.02%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5097 FN 07/43 FIXED 4.5                    | CUSIP: 31418EUX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1666570 | PA      | $1631101.48    | 0.31%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3              | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     452824 | PA      | $422070.86     | 0.08%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080054 G2 03/27 FLOATING VAR              | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.37         | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                         | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A               | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4718885.54    | 0.88%             | 2037-07-17      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764413 GN 04/41 FIXED 5                      | CUSIP: 36176FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5638 | PA      | $5645.50       | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08341 FG 04/39 FIXED 5              | CUSIP: 3128MJLX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29237 | PA      | $29661.59      | 0.01%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                         | FANNIE MAE FNR 2016 76 CS                              | CUSIP: 3136ATY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11769 | PA      | $512.75        | 0.00%             | 2046-10-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3      | CUSIP: 23242GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31831 | PA      | $24221.59      | 0.00%             | 2046-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNRT-3A                                                           | GENERATE CLO LTD. GNRT 3A A2R 144A                     | CUSIP: 98625UBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $507543.84     | 0.10%             | 2036-10-20      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA7886 GN 05/47 FIXED 4                      | CUSIP: 3617ALXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50160 | PA      | $47333.12      | 0.01%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784445 G2 02/48 FIXED 3.5                 | CUSIP: 3622A25E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78730 | PA      | $72750.82      | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QWQ8 OTC ECAL FN 5.0 AUG25 98.265625 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-22112.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930914 FN 04/39 FIXED 4                      | CUSIP: 31412PGX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1898 | PA      | $1838.54       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A95500 FG 12/40 FIXED 5              | CUSIP: 312944DD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14260 | PA      | $14382.90      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1296 FN 02/26 FIXED 3.575                  | CUSIP: 3140HSNN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $495961.89     | 0.09%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2016-M11                                          | FANNIEMAE ACES FNA 2016 M11 AL                         | CUSIP: 3136AT5G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115930 | PA      | $105585.11     | 0.02%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040677<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1500000 | PA      | $-1394941.79   | -0.26%            | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5430                                           | FREDDIE MAC FHR 5430 FD                                | CUSIP: 3137HDSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10104206 | PA      | $10096444.73   | 1.89%             | 2054-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97WA1 PIMCO FPPSWAPTION 4.3075 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $171754.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5173 FR 08/42 FIXED 3              | CUSIP: 3133KYXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52378 | PA      | $47619.17      | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A34704 FG 05/35 FIXED 5.5            | CUSIP: 31297QGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13584 | PA      | $14000.50      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX5505 FR 02/55 FIXED 5.5            | CUSIP: 31426BDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7016424 | PA      | $7031347.42    | 1.32%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32300000 | PA      | $25576960.11   | 4.79%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4695 FN 07/42 FIXED 3                      | CUSIP: 31418EGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35490 | PA      | $32295.75      | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5989 FN 11/48 FLOATING VAR                 | CUSIP: 3140JAUP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95180 | PA      | $98305.01      | 0.02%             | 2048-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04051 FG 02/38 FIXED 6              | CUSIP: 3128M5ZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21251 | PA      | $22316.31      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81047 FG 08/38 FIXED 6              | CUSIP: 312927EU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15049 | PA      | $15755.41      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                    | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1                | CUSIP: 12669GUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208365 | PA      | $164274.49     | 0.03%             | 2035-04-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1         | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82976 | PA      | $72296.30      | 0.01%             | 2047-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676927 GN 04/38 FIXED 5.5                    | CUSIP: 36295QA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30124 | PA      | $31227.41      | 0.01%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7748 FR 08/53 FIXED 5              | CUSIP: 3133C8TD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140658 | PA      | $138907.22     | 0.03%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4061 FN 06/30 FIXED 4.005                  | CUSIP: 3140NYQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10105000 | PA      | $9998401.14    | 1.87%             | 2030-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC1920 G2 09/47 FIXED 3.5                 | CUSIP: 3617B5DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156880 | PA      | $144528.74     | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 814952 FN 04/35 FLOATING VAR                 | CUSIP: 31406NL93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11371 | PA      | $11602.59      | 0.00%             | 2035-04-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7610 FN 07/46 FIXED 2.5                    | CUSIP: 3138WHN40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141654 | PA      | $119983.08     | 0.02%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2721 FH 01/35 FLOATING VAR         | CUSIP: 3128JM4F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2865 | PA      | $2912.38       | 0.00%             | 2035-01-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B     | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30147 | PA      | $25607.20      | 0.00%             | 2046-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0715 FN 12/40 FIXED VAR                    | CUSIP: 31419AYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304810 | PA      | $294721.13     | 0.06%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD3902 G2 01/48 FIXED 3.5                 | CUSIP: 3617BKKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12719 | PA      | $11733.63      | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4632 FN 06/42 FIXED 3                      | CUSIP: 31418EEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149345 | PA      | $135151.89     | 0.03%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5468                                           | FREDDIE MAC FHR 5468 FC                                | CUSIP: 3137HHAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9567033 | PA      | $9500207.21    | 1.78%             | 2054-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 691304 FN 11/37 FIXED 6.5                    | CUSIP: 31400MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14905 | PA      | $15397.97      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2931 FN 03/32 FIXED 3                      | CUSIP: 31418CHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42733 | PA      | $41542.37      | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q54654 FG 03/48 FIXED 4              | CUSIP: 3132XXE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3977 | PA      | $3771.08       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896504 FN 08/36 FIXED 6.5                    | CUSIP: 31410TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10405 | PA      | $10914.49      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896032 FN 08/36 FIXED 6                      | CUSIP: 31410SPR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.33         | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CWA0 PIMCO FPPSWAPTION 4.63 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $111963.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5            | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160741 | PA      | $165979.40     | 0.03%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3392 FN 03/30 FIXED 4.72                   | CUSIP: 3140NXXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4707000 | PA      | $4781428.17    | 0.90%             | 2030-03-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 08/25 0.00000                            | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     567000 | PA      | $564525.87     | 0.11%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8227 FN 06/33 FIXED 4.59                   | CUSIP: 3140LKD91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     335000 | PA      | $336903.62     | 0.06%             | 2033-06-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98XA8 PIMCO SWAPTION 3.967 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-4.56         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0169 FN 01/57 FIXED 3.5                    | CUSIP: 3140FXFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22342 | PA      | $20159.22      | 0.00%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0406 FN 02/47 FIXED VAR                    | CUSIP: 3140XFNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125695 | PA      | $113282.28     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4535 FN 11/26 FIXED 3                      | CUSIP: 3138AWBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5998 | PA      | $5932.87       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A   | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     736353 | PA      | $737302.37     | 0.14%             | 2051-07-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H04                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H04 FD         | CUSIP: 38380QYA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220704 | PA      | $222849.35     | 0.04%             | 2070-12-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A95501 FG 12/40 FIXED 5              | CUSIP: 312944DE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56281 | PA      | $56628.62      | 0.01%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8202 FN 04/28 FIXED 4.14                   | CUSIP: 3140LKDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155761 | PA      | $156184.60     | 0.03%             | 2028-04-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9448 FN 11/54 FIXED 4.5                    | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2256012 | PA      | $2181688.49    | 0.41%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3031                                                  | FREDDIE MAC FHR 3031 BZ                                | CUSIP: 31396AAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133010 | PA      | $130363.25     | 0.02%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-40013.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q13410 FG 12/42 FIXED 3              | CUSIP: 3132HPYF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47703 | PA      | $43206.44      | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                            | FREDDIEMAC STRIP FHS 330 F4                            | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45566 | PA      | $45006.95      | 0.01%             | 2037-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 783028 FH 02/35 FLOATING VAR         | CUSIP: 31349ULH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $834.39        | 0.00%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 820356 FN 02/35 FLOATING VAR                 | CUSIP: 31406UMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10436 | PA      | $10745.71      | 0.00%             | 2035-02-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7386 FN 12/29 FIXED 4.77                   | CUSIP: 3140LJF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89867 | PA      | $91379.95      | 0.02%             | 2029-12-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FD         | CUSIP: 38380LCX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484239 | PA      | $484012.08     | 0.09%             | 2068-05-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A65448 FG 09/37 FIXED 6              | CUSIP: 3128KWBR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        692 | PA      | $724.80        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44500000 | PA      | $39357464.75   | 7.37%             | 2054-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA5434 FR 05/48 FIXED 3.5            | CUSIP: 31329PBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     278330 | PA      | $254729.50     | 0.05%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A       | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     110860 | PA      | $96234.90      | 0.02%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC4840 G2 09/47 FIXED 3.5                 | CUSIP: 3617B8LV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10886 | PA      | $10042.50      | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3325                                                  | FREDDIE MAC FHR 3325 ZM                                | CUSIP: 31397JEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     351437 | PA      | $378263.46     | 0.07%             | 2037-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H03                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H03 FD         | CUSIP: 38375UTT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20298 | PA      | $20309.54      | 0.00%             | 2065-01-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 412301 GN 08/27 FIXED 7.5                    | CUSIP: 36206JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $115.23        | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                  | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172903 | PA      | $38222.13      | 0.01%             | 2046-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9FXA2 PIMCO SWAPTION 5.0 PUT USD 20250930          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   69900000 | NC      | $4026.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5            | CUSIP: 3132A4FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $355.55        | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1227 G2 08/43 FIXED 5                   | CUSIP: 36179NLG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76358 | PA      | $77220.84      | 0.01%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CC0257 FN 04/55 FIXED 6                      | CUSIP: 3140Y6JB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1014958 | PA      | $1044848.45    | 0.20%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AD8825 G2 03/43 FIXED 3.5                 | CUSIP: 36180MYW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199340 | PA      | $182307.11     | 0.03%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C     | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407150 | PA      | $329486.23     | 0.06%             | 2046-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 485682 GN 08/31 FIXED 6.5                    | CUSIP: 36209YRB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $69.61         | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2151 G2 08/44 FIXED 5                   | CUSIP: 36179QL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57352 | PA      | $57965.43      | 0.01%             | 2044-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B7241 FH 08/36 FLOATING VAR         | CUSIP: 3128QPNH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3754 | PA      | $3863.70       | 0.00%             | 2036-08-01      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8157 FN 03/54 FIXED 6                      | CUSIP: 3140QUB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1188170 | PA      | $1222342.95    | 0.23%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QV97 OTC EPUT FN 5.0 JUL25 95.359375 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $4.80          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-47                                         | FANNIE MAE FNR 2013 47 MS                              | CUSIP: 3136AEBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77691 | PA      | $69652.76      | 0.01%             | 2043-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 816593 FN 02/35 FLOATING VAR                 | CUSIP: 31406QGA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3050 | PA      | $3131.86       | 0.00%             | 2035-02-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5597 G2 11/48 FIXED 5                   | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86688 | PA      | $86562.84      | 0.02%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9NFA5 PIMCO SWAPTION 4.106 PUT USD 2025090         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-2044.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8517 FR 03/55 FIXED 6.5            | CUSIP: 3132DWPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8999101 | PA      | $9299653.23    | 1.74%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U79LA1 PIMCO SWAPTION 4.7 PUT USD 20250925          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   22100000 | NC      | $90.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA6089 GN 02/43 FIXED 3                      | CUSIP: 36178DXS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     891943 | PA      | $809206.38     | 0.15%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97ZA8 PIMCO SWAPTION 4.053 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-0.88         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3G0 OTC ECAL FN 5.0 SEP25 99 CALL                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-34908.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 2A3         | CUSIP: 12667CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35995 | PA      | $35528.66      | 0.01%             | 2037-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                           | FREDDIE MAC FHR 4438 WI                                | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29931 | PA      | $1699.23       | 0.00%             | 2038-11-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12400000 | PA      | $12175234.87   | 2.28%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0497 FN 11/39 FIXED VAR                    | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149692 | PA      | $153539.31     | 0.03%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4361                                           | FREDDIE MAC FHR 4361 PI                                | CUSIP: 3137BC5J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43955 | PA      | $5376.28       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QVC0 OTC EPUT FN 5.5 JUL25 97.28125 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $0.60          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AY2341 FN 06/45 FIXED 4                      | CUSIP: 3138YFS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29288 | PA      | $27902.89      | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9465 FN 05/43 FIXED 3.5                    | CUSIP: 31417GQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $753.14        | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 801773 FN 12/36 FIXED 6                      | CUSIP: 31405WXA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3645 | PA      | $3753.06       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9AOA3 PIMCO SWAPTION 4.3675 PUT USD 202508         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-70.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 944777 FN 09/37 FIXED 6.5                    | CUSIP: 31413GCN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20979 | PA      | $22164.17      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M8A5 PIMCO FPPSWAPTION 4.44 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2200000 | NC      | $139781.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4          | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A   | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     870734 | PA      | $872859.22     | 0.16%             | 2036-11-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                            | FREDDIEMAC STRIP FHS 389 C40                           | CUSIP: 31325YRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3135077 | PA      | $485863.12     | 0.09%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784295 G2 03/47 FIXED 3.5                 | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442636 | PA      | $407269.89     | 0.08%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                | CUSIP: 01F070682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3147090.21    | 0.59%             | 2054-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06872 FG 09/39 FIXED 5.5            | CUSIP: 3128M86H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74097 | PA      | $76396.04      | 0.01%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2974                                                  | FREDDIE MAC FHR 2974 PF                                | CUSIP: 31395TXG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12879 | PA      | $12718.57      | 0.00%             | 2035-05-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA1                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A       | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97967 | PA      | $79176.49      | 0.01%             | 2046-12-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK0730 FN 02/42 FLOATING VAR                 | CUSIP: 3138E4Y47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14580 | PA      | $14997.87      | 0.00%             | 2042-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12500000 | PA      | $11967131.00   | 2.24%             | 2054-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R263 OTC EPUT FN 4.0 JUL25 91.4375 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-306.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A           | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     389906 | PA      | $391929.81     | 0.07%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                                           | FREDDIE MAC FHR 3598 JI                                | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5514 | PA      | $244.90        | 0.00%             | 2037-10-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9FWA3 PIMCO SWAPTION 3.4525 CALL USD 20250         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5100000 | NC      | $-51862.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                            | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A          | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2754 | PA      | $2720.64       | 0.00%             | 2031-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AY8218 GN 01/47 FIXED 4                      | CUSIP: 36196YDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17972 | PA      | $16950.30      | 0.00%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-84                                         | FANNIE MAE FNR 2014 84 AI                              | CUSIP: 3136AL2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105396 | PA      | $682.88        | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QSC4 OTC ECAL FN 5.0 JUL25 98.8125 CALL           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6500000 | NC      | $-1683.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMMT 2021-4                                                      | JP MORGAN MORTGAGE TRUST JPMMT 2021 4 A11 144A         | CUSIP: 46652VBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1844133 | PA      | $1711095.21    | 0.32%             | 2051-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1856                                                  | FREDDIE MAC FHR 1856 ZG                                | CUSIP: 3133T7BC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $50.33         | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC4389 FN 07/39 FIXED 4                      | CUSIP: 31417N2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91703 | PA      | $89330.58      | 0.02%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815321 FN 01/35 FLOATING VAR                 | CUSIP: 31406NYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12060 | PA      | $12384.44      | 0.00%             | 2035-01-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                          | FANNIEMAE ACES FNA 2020 M33 X2                         | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1700034 | PA      | $98670.34      | 0.02%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809271 FN 01/35 FLOATING VAR                 | CUSIP: 31406GCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7388 | PA      | $7512.04       | 0.00%             | 2035-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5018 G2 02/48 FIXED 3                   | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119948 | PA      | $107664.05     | 0.02%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                         | FANNIE MAE FNR 2013 54 SK                              | CUSIP: 3136AEUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248781 | PA      | $171347.28     | 0.03%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3638 FN 08/44 FIXED VAR                    | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79274 | PA      | $76585.36      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2726 FN 12/29 FIXED 4.35                   | CUSIP: 3140NXA45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     705000 | PA      | $712244.50     | 0.13%             | 2029-12-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780509 GN 02/27 FIXED 6.5                    | CUSIP: 36225AR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.67          | 0.00%             | 2027-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX4147 FN 12/52 FIXED 6                      | CUSIP: 3140N8TD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95624 | PA      | $99105.02      | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6.5 JUMBOS                           | CUSIP: 21H062693<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $6137615.04    | 1.15%             | 2054-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030470<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14600000 | PA      | $13923299.05   | 2.61%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-73                                         | FANNIE MAE FNR 2015 73 ES                              | CUSIP: 3136AP7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73407 | PA      | $46751.11      | 0.01%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2789883.57    | 0.52%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618522 GN 09/33 FIXED 5.5                    | CUSIP: 36290VD35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2009 | PA      | $2005.01       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775852 FN 03/44 FLOATING VAR                 | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60039 | PA      | $60785.00      | 0.01%             | 2044-03-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0586 FN 12/39 FIXED VAR                    | CUSIP: 31418MUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50752 | PA      | $50664.70      | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R5L7 OTC ECAL FN 4.0 SEP25 94.3203125 CALL        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-45938.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2185 FN 06/47 FIXED 4                      | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2006 | PA      | $1894.59       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4091                                           | FREDDIE MAC FHR 4091 VS                                | CUSIP: 3137ATGL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112701 | PA      | $87506.62      | 0.02%             | 2040-11-15      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                           | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1           | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27254 | PA      | $25917.52      | 0.00%             | 2046-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS         | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138451 | PA      | $89132.62      | 0.02%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23700000 | PA      | $22039407.12   | 4.13%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R5M5 OTC EPUT FN 6.0 SEP25 99.15625 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3000000 | NC      | $1839.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 800335 FN 12/34 FLOATING VAR                 | CUSIP: 31405VEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        408 | PA      | $409.39        | 0.00%             | 2034-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9931 FN 07/28 FIXED 2.5                    | CUSIP: 31417HA95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57863 | PA      | $56566.60      | 0.01%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804965 FN 12/34 FLOATING VAR                 | CUSIP: 31406BJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2718 | PA      | $2760.88       | 0.00%             | 2034-12-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08851 FG 12/48 FIXED 3.5            | CUSIP: 3128MJ5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16200 | PA      | $14841.70      | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0503 FN 10/54 FIXED VAR                    | CUSIP: 3140W0RZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21971233 | PA      | $22359122.77   | 4.19%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                     | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                 | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        901 | PA      | $341.28        | 0.00%             | 2036-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                           | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1       | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8249 | PA      | $7992.73       | 0.00%             | 2031-11-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H09 FA         | CUSIP: 38382YQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     675549 | PA      | $669639.82     | 0.13%             | 2072-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784433 G2 02/48 FIXED 3.5                 | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84047 | PA      | $77551.94      | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569159 GN 03/32 FIXED 6.5                    | CUSIP: 36200QJC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $310.49        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008945 G2 08/26 FLOATING VAR              | CUSIP: 36202K5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        125 | PA      | $124.81        | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-18                                         | FANNIE MAE FNR 2011 18 ZK                              | CUSIP: 31397QF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96192 | PA      | $94453.06      | 0.02%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1            | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60455 | PA      | $58448.62      | 0.01%             | 2045-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08525 FG 05/43 FIXED 3              | CUSIP: 3128MJSP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82072 | PA      | $74252.70      | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE9251 FN 11/40 FIXED 4                      | CUSIP: 31419LH55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42479 | PA      | $41041.97      | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5            | CUSIP: 3128M7AX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84044 | PA      | $86376.62      | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1027325.01    | 0.19%             | 2039-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QSD2 OTC EPUT FN 5.0 JUL25 94.8125 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6500000 | NC      | $-2.60         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS2580 FN 06/29 FIXED 3                      | CUSIP: 3138WB2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81244 | PA      | $79158.97      | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3150582.12    | 0.59%             | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2747 FH 02/35 FLOATING VAR         | CUSIP: 3128JM5H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3307 | PA      | $3390.41       | 0.00%             | 2035-02-01      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 956913 FN 11/37 FIXED 6.5                    | CUSIP: 31413VSA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29972 | PA      | $31466.24      | 0.01%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H04                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H04 F          | CUSIP: 38382YMN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251937 | PA      | $250532.41     | 0.05%             | 2067-11-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2175 FR 03/32 FIXED 3.05           | CUSIP: 3132XGMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221351 | PA      | $203013.87     | 0.04%             | 2032-03-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04170 FG 04/38 FIXED 6              | CUSIP: 3128M56F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1153 | PA      | $1201.19       | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01622 FG 09/33 FIXED 5              | CUSIP: 31292HYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        471 | PA      | $477.46        | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB         | CUSIP: 38376RCF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3688 | PA      | $3692.83       | 0.00%             | 2065-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A91699 FG 04/40 FIXED 5              | CUSIP: 3129393G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5218 | PA      | $5292.59       | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4718 G2 09/47 FIXED 3                   | CUSIP: 36179TG33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21690 | PA      | $19428.04      | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7576 FN 12/27 FIXED 4.86                   | CUSIP: 3140LJM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     709020 | PA      | $719740.20     | 0.13%             | 2027-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847995 FN 11/35 FLOATING VAR                 | CUSIP: 31408DC85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2671 | PA      | $2709.93       | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5243 FR 06/43 FIXED 4.5            | CUSIP: 3133KYZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227365 | PA      | $223223.18     | 0.04%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3793 FN 05/35 FIXED 5.2                    | CUSIP: 3140NYGB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2450000 | PA      | $2539080.75    | 0.48%             | 2035-05-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838769 FN 09/35 FLOATING VAR                 | CUSIP: 31407R2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9760 | PA      | $9955.60       | 0.00%             | 2035-09-01      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 03/19/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $459177.38     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW3079 FN 06/42 FIXED 3                      | CUSIP: 3140MUM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6912 | PA      | $6257.43       | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                 | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22863 | PA      | $22312.48      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 521288 GN 04/35 FIXED 5                      | CUSIP: 36211SCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60048 | PA      | $60290.78      | 0.01%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                                         | FANNIE MAE FNR 2014 45 SA                              | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26035 | PA      | $1719.38       | 0.00%             | 2044-08-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2490 | PA      | $2411.35       | 0.00%             | 2032-09-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02791 FG 04/37 FIXED 5.5            | CUSIP: 3128M4NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $197.48        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DD0825 FN 01/55 FIXED 6                      | CUSIP: 3140B04K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9822039 | PA      | $10117948.75   | 1.90%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847959 FN 02/36 FLOATING VAR                 | CUSIP: 31408DB45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86970 | PA      | $88145.86      | 0.02%             | 2036-02-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A90393 FG 12/39 FIXED 5              | CUSIP: 312938NJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14499 | PA      | $14612.68      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5            | CUSIP: 3128MJJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20883 | PA      | $21445.92      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3621                                           | FREDDIE MAC FHR 3621 WI                                | CUSIP: 31398W2S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8878 | PA      | $489.71        | 0.00%             | 2037-05-15      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888115 FN 05/35 FLOATING VAR                 | CUSIP: 31410FVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12735 | PA      | $13152.28      | 0.00%             | 2035-05-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995175 FN 06/35 FIXED VAR                    | CUSIP: 31416BQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1285 | PA      | $1355.36       | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA6149 G2 03/43 FIXED 3                   | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130935 | PA      | $119436.98     | 0.02%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-5                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 5 A11 144A         | CUSIP: 46591FAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41570 | PA      | $39804.44      | 0.01%             | 2049-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9KGA0 PIMCO SWAPTION 4.3165 PUT USD 202509         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-2428.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 A 144A              | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1438636 | PA      | $1421004.47    | 0.27%             | 2038-12-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U89MA9 PIMCO SWAPTION 2.75 CALL USD 2026020         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $10936.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2011-H08                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H08 FG         | CUSIP: 38375BLC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5787 | PA      | $5796.82       | 0.00%             | 2061-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                           | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21490000 | PA      | $19540166.74   | 3.66%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK1962 FN 03/48 FIXED 4                      | CUSIP: 3140HFFC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26444 | PA      | $24967.59      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A   | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51912 | PA      | $50497.68      | 0.01%             | 2035-08-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8WUA9 PIMCO SWAPTION 5.0 PUT USD 20251008          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   50000000 | NC      | $4135.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 03/19/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $191999.12     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3534 G2 08/47 FIXED 3.5                 | CUSIP: 3617AT4T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17298 | PA      | $15957.48      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5180 FR 08/42 FIXED 3              | CUSIP: 3133KYXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1744 | PA      | $1587.03       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                                         | FANNIE MAE FNR 2015 50 SB                              | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141568 | PA      | $8471.95       | 0.00%             | 2045-07-25      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB2761 GN 08/42 FIXED 3.5                    | CUSIP: 36178NB65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7974 | PA      | $7437.86       | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                | CUSIP: 01F070690<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $943177.84     | 0.18%             | 2054-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17743 FG 01/27 FIXED 3              | CUSIP: 3128PXS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17769 | PA      | $17579.78      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A82215 FG 09/38 FIXED 6              | CUSIP: 312928N83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14795 | PA      | $15219.52      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735643 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68231 | PA      | $68658.81      | 0.01%             | 2042-08-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB8778 FN 08/54 FIXED 5.5                    | CUSIP: 3140AJXG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6961419 | PA      | $6976218.82    | 1.31%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3D7 OTC ECAL FN 5.0 SEP25 98.75 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-43460.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                                           | FREDDIE MAC FHR 4394 WI                                | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9283 | PA      | $514.91        | 0.00%             | 2041-08-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3        | CUSIP: 06050HKR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        657 | PA      | $635.79        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H20 FB         | CUSIP: 38375B6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43007 | PA      | $43538.45      | 0.01%             | 2063-08-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3889 G2 11/47 FIXED 3.5                 | CUSIP: 3617AUKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16245 | PA      | $14985.88      | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                           | FREDDIE MAC FHR 4020 ZE                                | CUSIP: 3137AMMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     477855 | PA      | $419912.21     | 0.08%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2064                                           | FREDDIE MAC FHR 2064 ZA                                | CUSIP: 3133TEMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21077 | PA      | $21278.87      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2022-1 LTD                                      | PALMER SQUARE CLO LTD PLMRS 2022 1A A 144A             | CUSIP: 69689QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     150000 | PA      | $150263.72     | 0.03%             | 2035-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0874 FR 03/55 FIXED 6              | CUSIP: 31427M6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     533376 | PA      | $550234.55     | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-100                                        | FANNIE MAE FNR 2024 100 FD                             | CUSIP: 3136BUGR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1030650 | PA      | $1037293.91    | 0.19%             | 2054-06-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1193 FN 03/55 FIXED VAR                    | CUSIP: 3140W1KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1228564 | PA      | $1265410.43    | 0.24%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                               | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1       | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258802 | PA      | $195880.24     | 0.04%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79234 FG 05/36 FIXED 5              | CUSIP: 3128LDHK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4697 | PA      | $4695.75       | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3465 FN 09/38 FIXED 4                      | CUSIP: 31418CZ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56737 | PA      | $55874.64      | 0.01%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3791 FN 05/35 FIXED 5.21                   | CUSIP: 3140NYF97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1099143 | PA      | $1138448.01    | 0.21%             | 2035-05-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q54427 FG 02/48 FIXED 4              | CUSIP: 3132XW4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7174 | PA      | $6802.51       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6330 G2 01/48 FIXED 3.5                 | CUSIP: 3617G1A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10264 | PA      | $9456.39       | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3359 FN 04/38 FIXED 3                      | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19231 | PA      | $18141.58      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C     | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242763 | PA      | $179612.94     | 0.03%             | 2046-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB9690 G2 09/47 FIXED 3.5                 | CUSIP: 3617B1XT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89920 | PA      | $82840.30      | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9MYA6 PIMCO SWAPTION 4.096 PUT USD 2025090         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-2027.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8409 FN 03/47 FIXED 4                      | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        973 | PA      | $913.37        | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QXL8 OTC EPUT FN 6.0 AUG25 98.5078125 PUT         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $123.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052474<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5200000 | PA      | $5295049.19    | 0.99%             | 2040-07-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677202 GN 08/38 FIXED 6.5                    | CUSIP: 36295QKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1945 | PA      | $2049.55       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B0A7 PIMCO SWAPTION 4.287 PUT USD 2025080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-119.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786108 G2 03/52 FIXED 3.5                 | CUSIP: 3622ABU91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253960 | PA      | $227365.97     | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                                  | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1              | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12628 | PA      | $12542.67      | 0.00%             | 2031-06-19      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3872 FN 05/35 FIXED 4.86                   | CUSIP: 3140NYJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $405648.03     | 0.08%             | 2035-05-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA SA 2019-1A                                         | LA HIPOTECARIA SA LHIPO 2019 1A AAA 144A               | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698436 | PA      | $639869.82     | 0.12%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2014-11                                         | FANNIE MAE FNR 2014 11 PL                              | CUSIP: 3136AJGR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     297680 | PA      | $288957.01     | 0.05%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9G1A5 PIMCO SWAPTION 4.236 PUT USD 2025080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-166.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A2        | CUSIP: 74922TAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16630 | PA      | $14145.84      | 0.00%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8743 FN 06/30 FIXED 4.68                   | CUSIP: 3140LKWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1479733 | PA      | $1497805.72    | 0.28%             | 2030-06-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                                         | FANNIE MAE FNR 2018 85 FE                              | CUSIP: 3136B3QC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     294006 | PA      | $289755.38     | 0.05%             | 2048-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03698 FG 12/37 FIXED 6              | CUSIP: 3128M5NP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2652 | PA      | $2784.10       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)SEP25 XCBT 20250919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          9 | NC      | $17565.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                    | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B               | CUSIP: 12669FY31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35637 | PA      | $31111.73      | 0.01%             | 2034-09-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1Q0184 FH 11/36 FLOATING VAR         | CUSIP: 3128S4FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56607 | PA      | $58833.81      | 0.01%             | 2036-11-01      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M7A6 PIMCO FPPSWAPTION 4.44 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2200000 | NC      | $133449.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                        | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A      | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $858490.05     | 0.16%             | 2031-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QVY2 OTC ECAL FN 4.0 AUG25 93.484375 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-49679.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4522 FN 10/26 FIXED 3                      | CUSIP: 3138AWAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4966 | PA      | $4911.84       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR6                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A      | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44433 | PA      | $38819.90      | 0.01%             | 2046-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8301 FN 08/53 FIXED 5                      | CUSIP: 3140NRGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82711 | PA      | $81681.89      | 0.02%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMS ECUADORIAN MORTGAGE 2021-1 TRUST                              | IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A    | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     586190 | PA      | $573578.30     | 0.11%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03392 FG 10/37 FIXED 6              | CUSIP: 3128M5C57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $291.95        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 748058 GN 04/41 FIXED 5                      | CUSIP: 3620C4B33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5363 | PA      | $5325.26       | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3871 FN 05/35 FIXED 4.87                   | CUSIP: 3140NYJR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $202967.03     | 0.04%             | 2035-05-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3413 FN 07/38 FIXED 4                      | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175885 | PA      | $173233.99     | 0.03%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98VA0 PIMCO FPPSWAPTION 4.285 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $103018.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W9                                      | FANNIEMAE WHOLE LOAN FNW 2003 W9 A                     | CUSIP: 31393B6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6783 | PA      | $6497.65       | 0.00%             | 2033-06-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4616 FN 02/48 FIXED 4                      | CUSIP: 3140H6DW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77430 | PA      | $73327.65      | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FE         | CUSIP: 38380QFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1696003 | PA      | $1714184.44    | 0.32%             | 2070-07-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2015-159                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE         | CUSIP: 38379FWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84877 | PA      | $72983.74      | 0.01%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-81                                         | FANNIE MAE FNR 2015 81 MZ                              | CUSIP: 3136AQPQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331002 | PA      | $247547.06     | 0.05%             | 2045-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79966 FG 08/38 FIXED 5.5            | CUSIP: 3128LECB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        941 | PA      | $955.69        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS6841 FN 01/54 FIXED VAR                    | CUSIP: 3140XNS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1435112 | PA      | $1476384.90    | 0.28%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02939 FG 05/37 FIXED 5.5            | CUSIP: 3128M4S46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $186.65        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH4379 FN 05/47 FIXED 4                      | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91529 | PA      | $86716.69      | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARES XXXIV CLO LTD 2015-2A                                        | ARES CLO LTD ARES 2015 2A AR3 144A                     | CUSIP: 04015GAX7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $501613.48     | 0.09%             | 2033-04-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3        | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476548 | PA      | $124382.89     | 0.02%             | 2037-04-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q55189 FG 04/48 FIXED 4              | CUSIP: 3132XXXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10986 | PA      | $10417.81      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ1638 GN 02/47 FIXED 4                      | CUSIP: 36197DZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92621 | PA      | $87355.58      | 0.02%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BU4013 FN 05/43 FIXED 4.5                    | CUSIP: 3140M5N76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     434269 | PA      | $425910.28     | 0.08%             | 2043-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18644 FG 05/32 FIXED 3              | CUSIP: 3128MMWE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155531 | PA      | $151426.73     | 0.03%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ7147 G2 07/47 FIXED 3.5                 | CUSIP: 36197K5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7656 | PA      | $7062.86       | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3306 FN 03/48 FIXED 4                      | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $1894.22       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17826 FG 01/27 FIXED 3              | CUSIP: 3128PXVT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22511 | PA      | $22270.61      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9151 FN 09/54 FIXED 6                      | CUSIP: 3140QVEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1055405 | PA      | $1089009.66    | 0.20%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB7379 FN 07/54 FIXED 5.5                    | CUSIP: 3140AHFV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7743542 | PA      | $7760005.46    | 1.45%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 675733 G2 07/47 FIXED 3.5                 | CUSIP: 36295NV20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51682 | PA      | $47614.19      | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 802714 FN 09/34 FLOATING VAR                 | CUSIP: 31405XYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19093 | PA      | $19361.39      | 0.00%             | 2034-09-01      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2997 FN 05/32 FIXED 3                      | CUSIP: 31418CKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62984 | PA      | $61196.37      | 0.01%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QRQ4 OTC ECAL FN 5.0 JUL25 98.43359375 CALL       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $1707.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R1S6 OTC EPUT FN 6.0 AUG25 98.5585938 PUT         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $130.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06931 FG 08/39 FIXED 6              | CUSIP: 3128M9A85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38521 | PA      | $40444.62      | 0.01%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 847996 FN 11/35 FLOATING VAR                 | CUSIP: 31408DC93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3650 | PA      | $3703.82       | 0.00%             | 2035-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005261 G2 12/41 FIXED 5                   | CUSIP: 36202FZ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92594 | PA      | $93640.73      | 0.02%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CK9490 G2 01/50 FIXED 4                   | CUSIP: 3617Y5RK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1914038 | PA      | $1788307.76    | 0.34%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H02 FH         | CUSIP: 38376RPV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     473324 | PA      | $475670.60     | 0.09%             | 2066-01-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735896 FN 09/35 FIXED VAR                    | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $173.88        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4843 FN 02/48 FIXED 4                      | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10862 | PA      | $10277.43      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI         | CUSIP: 38376T6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65970 | PA      | $2724.39       | 0.00%             | 2045-09-20      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 791585 FN 09/34 FIXED 6                      | CUSIP: 31405KNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14694 | PA      | $14937.54      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784208 GN 07/46 FIXED 4                      | CUSIP: 3622A2U91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     335375 | PA      | $317609.12     | 0.06%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8092 FN 07/42 FIXED VAR                    | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304729 | PA      | $294582.00     | 0.06%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18663 FG 10/32 FIXED 3              | CUSIP: 3128MMWZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88030 | PA      | $85693.03      | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK6957 FN 03/37 FIXED 4                      | CUSIP: 3138EBWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177538 | PA      | $174141.59     | 0.03%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2005-58                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 58 MZ          | CUSIP: 38374LM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32365 | PA      | $33027.19      | 0.01%             | 2035-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256771 FN 06/37 FIXED 6.5                    | CUSIP: 31371NFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28768 | PA      | $30196.63      | 0.01%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC9705 FN 01/55 FIXED 6                      | CUSIP: 3140AXYB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7773475 | PA      | $7907033.45    | 1.48%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U92CA4 PIMCO SWAPTION 3.395 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-76.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4766 FN 09/42 FIXED 4.5                    | CUSIP: 31418EJL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54194 | PA      | $53232.18      | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM2479 G2 08/47 FIXED 3                   | CUSIP: 3617YMXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117839 | PA      | $105068.00     | 0.02%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-100                                        | FANNIE MAE FNR 2024 100 FB                             | CUSIP: 3136BUGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1203162 | PA      | $1208041.42    | 0.23%             | 2055-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-54                                                | FANNIE MAE FNR 2020 54 WF                              | CUSIP: 3136BBGN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101676 | PA      | $99308.40      | 0.02%             | 2050-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0782 G2 02/43 FIXED 3                   | CUSIP: 36179M2P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     375743 | PA      | $342514.75     | 0.06%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT5929 FN 06/33 FIXED 4                      | CUSIP: 3138WTST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12000 | PA      | $11853.45      | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9BRA8 PIMCO SWAPTION 4.116 PUT USD 2025111         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15000000 | NC      | $48366.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928590 FN 07/37 FIXED 6.5                    | CUSIP: 31412LUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23552 | PA      | $24908.70      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                       | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A              | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     500000 | PA      | $501519.14     | 0.09%             | 2036-04-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AP0116 GN 10/45 FIXED 3                      | CUSIP: 36188KDV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26791 | PA      | $23923.22      | 0.00%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                     | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                 | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        748 | PA      | $118.23        | 0.00%             | 2036-03-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7183 FN 01/36 FLOATING VAR                 | CUSIP: 3138EP6V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48883 | PA      | $50605.28      | 0.01%             | 2036-01-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0938 FN 03/55 FIXED VAR                    | CUSIP: 3140W1BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1009961 | PA      | $1042118.79    | 0.20%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03911 FG 02/38 FIXED 6              | CUSIP: 3128M5VC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84429 | PA      | $88392.04      | 0.02%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR         | CUSIP: 31349TD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60970 | PA      | $62760.54      | 0.01%             | 2034-09-01      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-79                                         | FANNIE MAE FNR 2014 79 PS                              | CUSIP: 3136ALF48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180922 | PA      | $18054.47      | 0.00%             | 2044-06-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 TA         | CUSIP: 38375B8J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35116 | PA      | $35258.34      | 0.01%             | 2063-09-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4588                                           | FREDDIE MAC FHR 4588 PI                                | CUSIP: 3137BQEL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     601102 | PA      | $83202.59      | 0.02%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR         | CUSIP: 31295MZJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4010 | PA      | $4079.84       | 0.00%             | 2031-11-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZN2458 FR 12/33 FIXED 3.5            | CUSIP: 3131Y8WT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92266 | PA      | $90389.71      | 0.02%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0604 G2 07/47 FIXED 3.5                 | CUSIP: 3617AQU56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12510 | PA      | $11540.90      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05132 FG 12/38 FIXED 5              | CUSIP: 3128M7A97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55985 | PA      | $56929.04      | 0.01%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B8A9 PIMCO FPPSWAPTION 4.43 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1500000 | NC      | $94804.65      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 891584 FN 07/36 FIXED 6.5                    | CUSIP: 31410MRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9711 | PA      | $10238.10      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8526 FR 04/55 FIXED 6.5            | CUSIP: 3132DWPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7999206 | PA      | $8266363.80    | 1.55%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN5904 G2 10/50 FIXED 4                   | CUSIP: 3617F5RZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2040964 | PA      | $1905993.72    | 0.36%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-84                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 84 IB          | CUSIP: 38379PP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285201 | PA      | $55645.79      | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 843014 FN 03/35 FLOATING VAR                 | CUSIP: 31407WSB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        806 | PA      | $827.68        | 0.00%             | 2035-03-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ1178 FN 06/31 FIXED 5.81                   | CUSIP: 3140NVJY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1700000 | PA      | $1764199.48    | 0.33%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G0103 FH 02/35 FLOATING VAR         | CUSIP: 3128NCDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1093.90       | 0.00%             | 2035-02-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QVZ9 OTC ECAL FN 4.0 AUG25 93.46875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9000000 | NC      | $-45258.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1       | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     249618 | PA      | $217735.64     | 0.04%             | 2045-12-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-128                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 128 FK         | CUSIP: 38384CMF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     418212 | PA      | $418782.48     | 0.08%             | 2053-08-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1524 G2 12/43 FIXED 5                   | CUSIP: 36179NVR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30780 | PA      | $31089.75      | 0.01%             | 2043-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745060 FN 10/35 FLOATING VAR                 | CUSIP: 31403CWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1024 | PA      | $1035.42       | 0.00%             | 2035-10-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A          | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61572 | PA      | $59774.30      | 0.01%             | 2047-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4660 FN 07/42 FIXED 3                      | CUSIP: 31418EFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277892 | PA      | $253077.25     | 0.05%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4       | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61680 | PA      | $51065.40      | 0.01%             | 2046-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL  MORTGAGE ASSOCIATION 2024-126                | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 126 CF         | CUSIP: 38384UVT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1497658 | PA      | $1497363.25    | 0.28%             | 2054-08-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H13                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H13 FJ         | CUSIP: 38382Y7H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1043466 | PA      | $1059605.11    | 0.20%             | 2073-02-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM4724 G2 01/48 FIXED 3                   | CUSIP: 3617YQG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67639 | PA      | $59640.41      | 0.01%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE4350 FN 10/40 FIXED 4                      | CUSIP: 31419EZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82194 | PA      | $79490.30      | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK0935 FN 07/33 FIXED 4                      | CUSIP: 3140HEBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234346 | PA      | $233887.72     | 0.04%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1       | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135629 | PA      | $129495.19     | 0.02%             | 2035-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                | FANNIE MAE FNR 2004 63 FA                              | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1246 | PA      | $1224.84       | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-63                                         | FANNIE MAE FNR 2006 63 FD                              | CUSIP: 31395NQL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144427 | PA      | $143572.26     | 0.03%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1L0097 FH 06/35 FLOATING VAR         | CUSIP: 3128Q2DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7097 | PA      | $7378.57       | 0.00%             | 2035-06-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FS         | CUSIP: 38375BU83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     307864 | PA      | $311367.44     | 0.06%             | 2063-04-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32      | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144482 | PA      | $140947.45     | 0.03%             | 2046-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $83982.78      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-435                                               | FANNIEMAE STRIP FNS 435 C24                            | CUSIP: 31424UAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11294726 | PA      | $1456906.20    | 0.27%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R5A1 OTC EPUT FN 6.0 SEP25 99.140625 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3000000 | NC      | $1816.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QU8229 FR 11/54 FIXED 6              | CUSIP: 3133JMEA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1687452 | PA      | $1698636.02    | 0.32%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                           | FREDDIE MAC FHR 4068 UF                                | CUSIP: 3137ARPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145325 | PA      | $143964.80     | 0.03%             | 2042-06-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668910 FN 10/32 FLOATING VAR                 | CUSIP: 31391KDP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72582 | PA      | $73139.23      | 0.01%             | 2032-10-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2       | CUSIP: 39538WHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37299 | PA      | $32855.37      | 0.01%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9H6A8 PIMCO SWAPTION 3.3675 CALL USD 20250         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   25300000 | NC      | $158691.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24440.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18641 FG 04/32 FIXED 3              | CUSIP: 3128MMWB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228654 | PA      | $222455.56     | 0.04%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA         | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48077 | PA      | $2579.31       | 0.00%             | 2042-06-20      | Floating      | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB1138 FN 06/40 FIXED 4                      | CUSIP: 31416WHQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6241 | PA      | $6055.71       | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 457100 GN 11/28 FIXED 6.5                    | CUSIP: 36208PX52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1045 | PA      | $1076.93       | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5764 G2 02/49 FIXED 4.5                 | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106985 | PA      | $104535.53     | 0.02%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE7840 FN 02/47 FIXED 4                      | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85789 | PA      | $81292.22      | 0.02%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U99KA0 PIMCO SWAPTION 3.993 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-1.96         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02168 FG 04/36 FIXED 6              | CUSIP: 3128LXMR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6116 | PA      | $6421.13       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC | PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR        | CUSIP: 74040YAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      82337 | PA      | $82337.08      | 0.02%             | 2033-07-03      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 894118 FN 10/36 FIXED 6.5                    | CUSIP: 31410QK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1238 | PA      | $1278.89       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE9075 FN 05/37 FIXED 4                      | CUSIP: 3140FVCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145539 | PA      | $143895.07     | 0.03%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A50771 FG 07/36 FIXED 6              | CUSIP: 3128KC2C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1201 | PA      | $1260.70       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257531 FN 11/28 FIXED 6.5                    | CUSIP: 31371PA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $250.43        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06067 FG 10/39 FIXED 5              | CUSIP: 3128M8CC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226354 | PA      | $230080.07     | 0.04%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                | FANNIE MAE FNR 1998 22 FA                              | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $27.57         | 0.00%             | 2028-04-18      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   29100000 | PA      | $24727779.71   | 4.63%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ8954 FR 11/54 FIXED 6              | CUSIP: 3133D05P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9861284 | PA      | $10178817.46   | 1.91%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                 | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48713 | PA      | $47579.51      | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BE6179 GN 12/47 FIXED 4                      | CUSIP: 3617G02L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13947 | PA      | $13140.35      | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 28 LTD 28A                                                | KKR FINANCIAL CLO LTD KKR 28A AR 144A                  | CUSIP: 48253WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500367.58     | 0.09%             | 2035-02-09      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AR0791 G2 05/46 FIXED 3.5                 | CUSIP: 36192S2Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135282 | PA      | $123131.82     | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                      | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A              | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $501559.93     | 0.09%             | 2037-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                               | MFRA TRUST MFRA 2020 NQM2 A1 144A                      | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92698 | PA      | $89999.40      | 0.02%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5162 FR 06/42 FIXED 3              | CUSIP: 3133KYWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     886865 | PA      | $807669.82     | 0.15%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809925 FN 03/35 FLOATING VAR                 | CUSIP: 31406GYW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2725 | PA      | $2749.24       | 0.00%             | 2035-03-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6              | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8988565 | PA      | $9258139.93    | 1.73%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A63533 FG 07/37 FIXED 5.5            | CUSIP: 3128KT4S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1402 | PA      | $1436.01       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 DF                                | CUSIP: 3137HJG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     935080 | PA      | $937561.15     | 0.18%             | 2055-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555640 FN 07/33 FIXED VAR                    | CUSIP: 31385XHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $159.89        | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A91812 FG 04/40 FIXED 5              | CUSIP: 312940AM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10612 | PA      | $10762.82      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 710838 GN 09/39 FIXED 4.5                    | CUSIP: 36297FV74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2460 | PA      | $2404.98       | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3278 FN 04/30 FIXED 4.74                   | CUSIP: 3140NXUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1210522.54    | 0.23%             | 2030-04-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                                         | FANNIE MAE FNR 2014 42 SA                              | CUSIP: 3136AKPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38674 | PA      | $1558.27       | 0.00%             | 2044-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT0861 GN 03/50 FIXED 3                      | CUSIP: 3617MN5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     486608 | PA      | $431789.05     | 0.08%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB6244 FN 09/42 FIXED 4                      | CUSIP: 31417C5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158675 | PA      | $153143.07     | 0.03%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91696 FG 07/43 FIXED 4              | CUSIP: 3132HBXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69751 | PA      | $66919.34      | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                                           | FREDDIE MAC FHR 3684 JI                                | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28776 | PA      | $1719.19       | 0.00%             | 2036-11-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG2194 FR 04/53 FIXED 6              | CUSIP: 3133C2NK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71332 | PA      | $73859.21      | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8492 FR 08/53 FIXED 5              | CUSIP: 3133C9NH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152990 | PA      | $150574.01     | 0.03%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5135000 | PA      | $4693515.91    | 0.88%             | 2039-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1102 GN 07/47 FIXED 4                      | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44578 | PA      | $42065.20      | 0.01%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH0299 FN 04/47 FIXED 4                      | CUSIP: 3140GNKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121809 | PA      | $115572.20     | 0.02%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ENA6 PIMCO SWAPTION 5.0 PUT USD 20250829          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  113900000 | NC      | $1218.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                             | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP          | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     378198 | PA      | $195968.85     | 0.04%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q34007 FG 06/45 FIXED 3              | CUSIP: 3132QQNZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54406 | PA      | $48725.28      | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5368 FN 08/47 FIXED 3.5                    | CUSIP: 3140GT6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43527 | PA      | $40135.28      | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R545 OTC ECAL FN 4.0 SEP25 94.09375 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-52815.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62071 FG 08/46 FIXED 3              | CUSIP: 3128S3JQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129032 | PA      | $112684.93     | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5499                                           | FREDDIE MAC FHR 5499 FX                                | CUSIP: 3137HJZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2068429 | PA      | $2078114.63    | 0.39%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 688769 FN 03/33 FIXED 6                      | CUSIP: 31400JFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $111.64        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0822 FN 02/55 FIXED VAR                    | CUSIP: 3140W04G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2131391 | PA      | $2197563.80    | 0.41%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD6477 FR 09/54 FIXED 5.5            | CUSIP: 3132DUFS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30587746 | PA      | $30733158.22   | 5.76%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS4009 FN 12/39 FIXED 3.5                    | CUSIP: 3138WDN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96846 | PA      | $91216.08      | 0.02%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18652 FG 07/32 FIXED 3              | CUSIP: 3128MMWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84351 | PA      | $82122.12      | 0.02%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6527 G2 02/48 FIXED 3.5                 | CUSIP: 3617G1HC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8905 | PA      | $8203.86       | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4744 FN 01/48 FIXED 4                      | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5078 | PA      | $4809.33       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK2411 FN 02/42 FIXED 4                      | CUSIP: 3138E6VD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95032 | PA      | $91807.88      | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781288 GN 05/31 FIXED 6.5                    | CUSIP: 36225BND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $190.98        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                     | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                 | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20106 | PA      | $19016.10      | 0.00%             | 2035-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 785747 GN 07/49 FIXED 4.5                    | CUSIP: 3622ABHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1344724 | PA      | $1306092.90    | 0.24%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3514                                           | FREDDIE MAC FHR 3514 ZQ                                | CUSIP: 31398C7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143369 | PA      | $145043.90     | 0.03%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ8592 GN 04/47 FIXED 4                      | CUSIP: 36197MRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75639 | PA      | $71375.80      | 0.01%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678006 FN 10/32 FIXED 6                      | CUSIP: 31391VGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4604 | PA      | $4788.01       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS2262 FN 04/44 FIXED 4                      | CUSIP: 3138WBQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15131 | PA      | $14397.81      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A53538 FG 10/36 FIXED 6              | CUSIP: 3128KF4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2321 | PA      | $2430.22       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-3                                          | FANNIE MAE FNR 2012 3 PE                               | CUSIP: 3136A3S69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88298 | PA      | $85929.86      | 0.02%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98UA1 PIMCO SWAPTION 3.943 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-7.98         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ0893 FR 07/54 FIXED 5              | CUSIP: 3133CQ7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3229792 | PA      | $3185990.01    | 0.60%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS         | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46132 | PA      | $2221.71       | 0.00%             | 2043-06-20      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0517 FN 02/55 FIXED VAR                    | CUSIP: 3140W0SF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9647054 | PA      | $9702470.35    | 1.82%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 FA         | CUSIP: 38375B8G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24958 | PA      | $25258.15      | 0.00%             | 2063-09-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A   | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2265 | PA      | $2217.04       | 0.00%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91116 FG 11/27 FIXED 6              | CUSIP: 3128P7GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3225 | PA      | $3281.29       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A       | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     714461 | PA      | $609935.35     | 0.11%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683380 GN 01/38 FIXED 6.5                    | CUSIP: 36295XFV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46114 | PA      | $48477.95      | 0.01%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8YKA6 PIMCO SWAPTION 3.55 CALL USD 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-24587.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813844 FN 01/35 FLOATING VAR                 | CUSIP: 31406MER3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5318 | PA      | $5461.56       | 0.00%             | 2035-01-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2488 FN 10/44 FIXED 4                      | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83649 | PA      | $80639.21      | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698378 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10534 | PA      | $10360.79      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1180 GN 08/47 FIXED 4                      | CUSIP: 3617B4JZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10222 | PA      | $9646.00       | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5937 FN 10/29 FIXED VAR                    | CUSIP: 3138ENS34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32011 | PA      | $31403.21      | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 SN                              | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66048 | PA      | $8839.50       | 0.00%             | 2049-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06962 FG 05/40 FIXED 6              | CUSIP: 3128M9B76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24162 | PA      | $25370.03      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1138 GN 08/47 FIXED 4                      | CUSIP: 3617B4HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73867 | PA      | $69704.17      | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-53                                                | FANNIE MAE FNR 2004 53 ZQ                              | CUSIP: 31394AAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158786 | PA      | $171077.23     | 0.03%             | 2034-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 931551 FN 07/39 FIXED 4.5                    | CUSIP: 31412P5L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     174072 | PA      | $173771.22     | 0.03%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0102 FN 06/56 FIXED 3.5                    | CUSIP: 3140FXDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23296 | PA      | $21008.43      | 0.00%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003636 G2 11/34 FIXED 5                   | CUSIP: 36202EBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $441.03        | 0.00%             | 2034-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799812 FN 11/34 FLOATING VAR                 | CUSIP: 31405UR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2199 | PA      | $2226.07       | 0.00%             | 2034-11-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6.5 JUMBOS                           | CUSIP: 21H062685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $8197861.76    | 1.54%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9624 FN 12/54 FIXED 4.5                    | CUSIP: 3140QVVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2072070 | PA      | $2012632.81    | 0.38%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 729511 GN 04/40 FIXED 4.5                    | CUSIP: 3620AGN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1259 | PA      | $1235.91       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1858 FR 04/49 FIXED 4.5            | CUSIP: 3132AEB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392812 | PA      | $382151.40     | 0.07%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                 | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61599 | PA      | $60211.00      | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM5684 FN 09/49 FIXED VAR                    | CUSIP: 3140X9J63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3985910 | PA      | $4028015.74    | 0.75%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD6374 FN 09/46 FIXED 3.5                    | CUSIP: 3140FECL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240066 | PA      | $220905.15     | 0.04%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R255 OTC EPUT FN 4.0 JUL25 91.4375 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-1021.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U7A1A0 PIMCO SWAPTION 5.0 PUT USD 20250926          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2200000 | NC      | $298.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX7108 FR 03/55 FIXED 5.5            | CUSIP: 31426C3S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10170341 | PA      | $10233622.08   | 1.92%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4572                                           | FREDDIE MAC FHR 4572 NI                                | CUSIP: 3137BNY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129835 | PA      | $24723.91      | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4276 FN 01/27 FIXED 3                      | CUSIP: 31417AXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30373 | PA      | $30017.84      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8651 G2 08/47 FIXED 3.5                 | CUSIP: 3617B0TG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11538 | PA      | $10643.65      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE2689 FN 05/47 FIXED 4                      | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4702 | PA      | $4457.81       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 09/25 0.00000                            | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     435000 | PA      | $431662.96     | 0.08%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3229 FN 02/47 FIXED VAR                    | CUSIP: 3140X6ST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662602 | PA      | $621613.25     | 0.12%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A        | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115424 | PA      | $118227.49     | 0.02%             | 2058-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QSL4 OTC EPUT FN 4.5 JUL25 92.46875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-1.20         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14900000 | PA      | $14247187.79   | 2.67%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5659 G2 04/48 FIXED 4                   | CUSIP: 3617G0JC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148258 | PA      | $138742.77     | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784601 G2 03/48 FIXED 3.5                 | CUSIP: 3622AAAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     497496 | PA      | $457855.64     | 0.09%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 981444 FN 09/38 FIXED 6                      | CUSIP: 31415AZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13964 | PA      | $14331.65      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A2                             | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263316 | PA      | $258829.53     | 0.05%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3287 FN 11/47 FIXED 4                      | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9267 | PA      | $8775.58       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03968 FG 12/36 FIXED 5.5            | CUSIP: 3128M5W55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $247.04        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-81                                                | FANNIE MAE FNR 2001 81 HE                              | CUSIP: 31392BQR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9200 | PA      | $9601.30       | 0.00%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4463                                           | FREDDIE MAC FHR 4463 IO                                | CUSIP: 3137BHGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17829 | PA      | $995.09        | 0.00%             | 2038-02-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QO9                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO9 1A3A      | CUSIP: 75114PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82009 | PA      | $71894.77      | 0.01%             | 2046-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4583 FN 09/42 FIXED VAR                    | CUSIP: 3140J9CV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26524 | PA      | $24904.46      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4487 FN 02/27 FIXED 3                      | CUSIP: 31417A6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21708 | PA      | $21446.58      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA SA 2016-1A                                   | LA HIPOTECARIA SA LHIPO 2016 1A A 144A                 | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     375634 | PA      | $346150.49     | 0.06%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 08/25 0.00000                            | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     876000 | PA      | $870653.36     | 0.16%             | 2025-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701905 GN 05/39 FIXED 5.5                    | CUSIP: 36296UYA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1537 | PA      | $1593.39       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H20 BF         | CUSIP: 38375UP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1021455 | PA      | $1029053.20    | 0.19%             | 2067-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                 | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17145 | PA      | $16746.21      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7098 FN 09/53 FIXED 5                      | CUSIP: 3140QS3G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3047560 | PA      | $3001140.41    | 0.56%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5            | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8999106 | PA      | $9301064.27    | 1.74%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E02997 FG 10/26 FIXED 3              | CUSIP: 31294MKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3560 | PA      | $3522.53       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03709 FG 07/41 FIXED 5              | CUSIP: 31292LDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3624 | PA      | $3675.23       | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ7040 FN 08/38 FIXED 4                      | CUSIP: 3140H8ZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11001 | PA      | $10875.21      | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2059 FN 06/42 FIXED VAR                    | CUSIP: 3138EJJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55724 | PA      | $53822.05      | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE         | CUSIP: 38376RRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48848 | PA      | $49179.48      | 0.01%             | 2066-03-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A     | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101365 | PA      | $96165.85      | 0.02%             | 2046-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5248 FR 05/43 FIXED 4              | CUSIP: 3133KYZM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     573939 | PA      | $554138.46     | 0.10%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2          | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3096348.09    | 0.58%             | 2054-07-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZL2783 FR 03/42 FIXED 3.5            | CUSIP: 3131XJCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $248.42        | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U99LA9 PIMCO SWAPTION 3.984 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-2.21         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97VA2 PIMCO FPPSWAPTION 4.3075 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $185153.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1988 FN 07/48 FIXED 4.5                    | CUSIP: 3140Q9F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138840 | PA      | $135149.25     | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6392 FN 11/26 FIXED 3                      | CUSIP: 3138AYC64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1359 | PA      | $1341.33       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ5532 FR 09/54 FIXED 5.5            | CUSIP: 3133CWED0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9661687 | PA      | $9687836.96    | 1.81%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03781 FG 01/38 FIXED 6              | CUSIP: 3128M5RA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16997 | PA      | $17849.88      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI          | CUSIP: 38380CSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54759 | PA      | $2399.68       | 0.00%             | 2045-11-20      | Floating      | 0.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ5541 FR 09/54 FIXED 6.5            | CUSIP: 3133CWEN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1527485 | PA      | $1591280.91    | 0.30%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A64440 FG 08/37 FIXED 6              | CUSIP: 3128KU4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37111 | PA      | $38972.24      | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2794 FN 02/30 FIXED 4.28                   | CUSIP: 3140NXC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     555000 | PA      | $557539.95     | 0.10%             | 2030-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A93101 FG 07/40 FIXED 5              | CUSIP: 312941NS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6284 | PA      | $6373.22       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0583 G2 07/47 FIXED 3.5                 | CUSIP: 3617AQUG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10738 | PA      | $9902.44       | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579731 GN 08/32 FIXED 6.5                    | CUSIP: 36201DA85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $74.16         | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7271 FN 09/41 FLOATING VAR                 | CUSIP: 3138EQCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22841 | PA      | $23507.16      | 0.00%             | 2041-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                   | EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A            | CUSIP: 268668BU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27114 | PA      | $27483.45      | 0.01%             | 2040-08-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9H5A9 PIMCO SWAPTION 3.9675 PUT USD 202509         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -19500000 | NC      | $-33483.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TCW CLO 2024-1 LTD                                                | TCW LTD TCW 2024 1A A1 144A                            | CUSIP: 87252MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500859.83     | 0.09%             | 2037-01-16      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9L9A6 PIMCO SWAPTION 4.257 PUT USD 2025090         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-794.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU6030 FN 09/33 FIXED 4.5                    | CUSIP: 3138X5VY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177702 | PA      | $177810.09     | 0.03%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928223 FN 04/37 FIXED 6.5                    | CUSIP: 31412LG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5445 | PA      | $5700.98       | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3862 FN 01/38 FIXED 3                      | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113900 | PA      | $107380.13     | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03205 FG 07/35 FIXED 5.5            | CUSIP: 3128M43N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2661 | PA      | $2727.26       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A65518 FG 09/37 FIXED 6              | CUSIP: 3128KWDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2613 | PA      | $2698.36       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5            | CUSIP: 3132M6E22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62697 | PA      | $61162.83      | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2815 FN 05/35 FLOATING VAR                 | CUSIP: 3138EKDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21125 | PA      | $21781.71      | 0.00%             | 2035-05-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A        | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $400881.76     | 0.08%             | 2037-04-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ         | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1440209 | PA      | $1445498.05    | 0.27%             | 2073-12-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626938 GN 04/45 FIXED 4                      | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66200 | PA      | $63859.00      | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97AA5 PIMCO FPPSWAPTION 4.265 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $81032.14      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R123 OTC EPUT FN 6.0 AUG25 98.62890625 PUT        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $141.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3W5 OTC EPUT FN 6.0 SEP25 98.71875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $864.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040479<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $97825.53      | 0.02%             | 2039-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD         | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     588233 | PA      | $590357.25     | 0.11%             | 2074-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9626 FN 12/54 FIXED 4.5                    | CUSIP: 3140QVVU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226835 | PA      | $219046.02     | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 879522 FN 03/36 FIXED 6                      | CUSIP: 31409VD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35477 | PA      | $37210.64      | 0.01%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4574 FN 11/26 FIXED 3                      | CUSIP: 3138AWCL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10288 | PA      | $10175.49      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040685<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -8900000 | PA      | $-8274916.33   | -1.55%            | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -100150000 | PA      | $-100060582.07 | -18.74%           | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4645 FN 10/38 FIXED VAR                    | CUSIP: 3140J9ET4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87156 | PA      | $82223.07      | 0.02%             | 2038-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3092 FN 02/35 FIXED 5.14                   | CUSIP: 3140NXNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3610693.80    | 0.68%             | 2035-02-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 827783 FN 05/35 FLOATING VAR                 | CUSIP: 31407DUG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20640 | PA      | $21216.68      | 0.00%             | 2035-05-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8338 FR 08/53 FIXED 5              | CUSIP: 3133C9HP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92398 | PA      | $90938.94      | 0.02%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1447 G2 11/43 FIXED 3                   | CUSIP: 36179NTC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78783 | PA      | $71554.83      | 0.01%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                          | SEQUOIA MORTGAGE TRUST SEMT 5 A                        | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7318 | PA      | $7204.88       | 0.00%             | 2026-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8055 FN 04/47 FIXED 4                      | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3244 | PA      | $3063.59       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24700000 | PA      | $21376690.09   | 4.00%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA         | CUSIP: 38379FDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44297 | PA      | $2152.79       | 0.00%             | 2042-06-20      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U99WA7 PIMCO SWAPTION 4.215 PUT USD 2025080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-231.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4248                                           | FREDDIE MAC FHR 4248 ES                                | CUSIP: 3137B4UN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199056 | PA      | $190148.78     | 0.04%             | 2041-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5059 FN 06/43 FIXED 4.5                    | CUSIP: 31418ETR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     615494 | PA      | $604282.70     | 0.11%             | 2043-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9315 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58815 | PA      | $54357.03      | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0248 FR 01/54 FIXED 5              | CUSIP: 31427MH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9657219 | PA      | $9502352.75    | 1.78%             | 2054-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 03/19/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $486025.24     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 1A       | CUSIP: 3137G1BK2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     200251 | PA      | $173140.98     | 0.03%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                 | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2566 | PA      | $2373.57       | 0.00%             | 2032-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7444 FR 12/54 FIXED 5              | CUSIP: 3132DVHV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8837701 | PA      | $8698696.97    | 1.63%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A74896 FG 03/38 FIXED 5              | CUSIP: 3128L8NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50093 | PA      | $50856.60      | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735962 FN 10/35 FLOATING VAR                 | CUSIP: 31402RTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3665 | PA      | $3710.17       | 0.00%             | 2035-10-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2005-102                                        | FANNIE MAE FNR 2005 102 AS                             | CUSIP: 31394UHW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     265176 | PA      | $19056.45      | 0.00%             | 2035-11-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $591842.33     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R1T4 OTC ECAL FN 4.0 JUL25 93.609375 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-4492.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                | FANNIE MAE FNR 2004 11 A                               | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17623 | PA      | $17594.20      | 0.00%             | 2034-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2384 FR 06/30 FIXED 4.4            | CUSIP: 3132XGUJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82367 | PA      | $82277.84      | 0.02%             | 2030-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E03003 FG 01/27 FIXED 3              | CUSIP: 31294MKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38778 | PA      | $38379.52      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                                         | FANNIE MAE FNR 2016 52 PI                              | CUSIP: 3136AS6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98803 | PA      | $10792.69      | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5588 FN 01/40 FIXED 4                      | CUSIP: 31418FF69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     940024 | PA      | $920046.75     | 0.17%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04692 FG 02/35 FIXED 5.5            | CUSIP: 3128M6RM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5706 | PA      | $5851.96       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Z40004 FG 08/36 FIXED 6              | CUSIP: 3132FCAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5781 | PA      | $6069.63       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4280 FN 01/27 FIXED 3                      | CUSIP: 31417AXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26970 | PA      | $26654.31      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                                           | FREDDIE MAC FHR 4255 SN                                | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96916 | PA      | $95975.64      | 0.02%             | 2035-05-15      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD         | CUSIP: 38380QHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     721808 | PA      | $729527.01     | 0.14%             | 2070-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP          | CUSIP: 38378MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194243 | PA      | $20725.06      | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                                           | FREDDIE MAC FHR 4338 SB                                | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23117 | PA      | $1374.51       | 0.00%             | 2041-10-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21      | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145890 | PA      | $51147.28      | 0.01%             | 2035-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H01                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H01 FA         | CUSIP: 38375U3L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1206180 | PA      | $1215255.48    | 0.23%             | 2068-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6924 FN 01/45 FIXED VAR                    | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     267538 | PA      | $258207.83     | 0.05%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QRR2 OTC ECAL FN 5.0 JUL25 98.4375 CALL           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $1688.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8216 FN 04/33 FIXED 4.49                   | CUSIP: 3140LKDW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $199882.88     | 0.04%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5482                                           | FREDDIE MAC FHR 5482 FC                                | CUSIP: 3137HHLW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     627659 | PA      | $628135.85     | 0.12%             | 2054-12-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783579 GN 05/42 FIXED 3.5                    | CUSIP: 36241L6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72406 | PA      | $67815.69      | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4084 FN 05/35 FIXED 4.98                   | CUSIP: 3140NYRE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3989081.62    | 0.75%             | 2035-05-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7079 FN 07/35 FIXED VAR                    | CUSIP: 3138EP2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     274423 | PA      | $270252.86     | 0.05%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2937 FN 04/43 FIXED VAR                    | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1489941 | PA      | $1437637.45    | 0.27%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4              | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92721 | PA      | $87938.90      | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-93                                         | FANNIE MAE FNR 2024 93 FB                              | CUSIP: 3136BTK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10013928 | PA      | $10059649.71   | 1.88%             | 2054-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90111 FG 09/42 FIXED 4              | CUSIP: 3132H3DQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     388431 | PA      | $374108.61     | 0.07%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050684<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-979509.54    | -0.18%            | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN1152 FN 11/48 FIXED 4.5                    | CUSIP: 3140JHH63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53169 | PA      | $51614.79      | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                  | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4          | CUSIP: 00764MEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83744 | PA      | $82326.96      | 0.02%             | 2035-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1910 FN 01/44 FIXED VAR                    | CUSIP: 3140XHDQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34977 | PA      | $32868.18      | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                     | SYCAMORE TREE CLO LTD STCP 2023 2A AR 144A             | CUSIP: 87122CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $303437.99     | 0.06%             | 2037-01-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EEA6 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $94192.80      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ3873 FN 05/35 FIXED 4.7                    | CUSIP: 3140NYJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199826 | PA      | $200763.40     | 0.04%             | 2035-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62068 FG 09/46 FIXED 2.5            | CUSIP: 3128S3JM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155688 | PA      | $131175.57     | 0.02%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU2890 FN 08/28 FIXED 2.5                    | CUSIP: 3138X2F82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40182 | PA      | $39223.07      | 0.01%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809429 FN 02/35 FLOATING VAR                 | CUSIP: 31406GHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4623 | PA      | $4758.83       | 0.00%             | 2035-02-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-88                                         | FANNIE MAE FNR 2009 88 WZ                              | CUSIP: 31398F3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50529 | PA      | $45233.75      | 0.01%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 JF         | CUSIP: 38380LE82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217688 | PA      | $216737.58     | 0.04%             | 2069-09-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5            | CUSIP: 3128M9KQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38655 | PA      | $38615.36      | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                              | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19910 | PA      | $20397.78      | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA7937 GN 06/47 FIXED 4                      | CUSIP: 3617ALZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19535 | PA      | $18433.59      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783532 GN 02/42 FIXED 3.5                    | CUSIP: 36241L4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2586 | PA      | $2421.04       | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW9166 FN 07/34 FIXED 4                      | CUSIP: 3138XZFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113528 | PA      | $111676.03     | 0.02%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784010 GN 03/45 FIXED 4                      | CUSIP: 3622A2N32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124532 | PA      | $120153.99     | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                                         | FANNIE MAE FNR 2012 77 IO                              | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40187 | PA      | $1999.06       | 0.00%             | 2052-07-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0516 FN 02/55 FIXED VAR                    | CUSIP: 3140W0SE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7935176 | PA      | $7799765.24    | 1.46%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697924 GN 03/39 FIXED 5                      | CUSIP: 36296QLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166836 | PA      | $167656.74     | 0.03%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                         | FANNIE MAE FNR 2014 43 BS                              | CUSIP: 3136AKKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35735 | PA      | $2056.72       | 0.00%             | 2044-07-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4049 FN 12/41 FIXED 4                      | CUSIP: 31417AQB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144172 | PA      | $139235.26     | 0.03%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 773246 FN 02/35 FLOATING VAR                 | CUSIP: 31404NBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5325 | PA      | $5514.21       | 0.00%             | 2035-02-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5166 FR 07/42 FIXED 3              | CUSIP: 3133KYW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152945 | PA      | $139287.00     | 0.03%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886394 FN 08/36 FIXED 6                      | CUSIP: 31410DXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9996 | PA      | $10420.70      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                                           | FREDDIE MAC FHR 3962 KS                                | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23794 | PA      | $1459.87       | 0.00%             | 2038-06-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0093 G2 05/42 FIXED 6                   | CUSIP: 36179MC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20097 | PA      | $21025.77      | 0.00%             | 2042-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4521 FN 08/38 FIXED VAR                    | CUSIP: 3140J9AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53524 | PA      | $52745.61      | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4287 FN 11/40 FIXED VAR                    | CUSIP: 3138ELXR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76031 | PA      | $79746.64      | 0.01%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9449 FN 11/54 FIXED 4.5                    | CUSIP: 3140QVQB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2103969 | PA      | $2031524.82    | 0.38%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5422 GN 01/50 FIXED 4.07                   | CUSIP: 36183BAX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1102234 | PA      | $978213.10     | 0.18%             | 2050-01-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -25900000 | PA      | $-25385484.59  | -4.76%            | 2054-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3285 FN 09/39 FIXED 3.5                    | CUSIP: 3138WCUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19822 | PA      | $18694.67      | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BQ7186 GN 10/49 FIXED 3.5                    | CUSIP: 3617LR6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     562604 | PA      | $514128.81     | 0.10%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7090 FN 10/37 FLOATING VAR                 | CUSIP: 3138EP2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203867 | PA      | $211460.95     | 0.04%             | 2037-10-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5648 FN 03/55 FIXED 6.5                    | CUSIP: 31418FH26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6999302 | PA      | $7233064.57    | 1.35%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9921 FN 03/48 FIXED 4                      | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13149 | PA      | $12422.73      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM2620 G2 06/47 FIXED 3                   | CUSIP: 3617YM4D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135188 | PA      | $120537.32     | 0.02%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q25852 FG 04/44 FIXED 4.5            | CUSIP: 3132M6EZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51679 | PA      | $50823.60      | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4534                                           | FREDDIE MAC FHR 4534 PZ                                | CUSIP: 3137BMGC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182921 | PA      | $123511.06     | 0.02%             | 2044-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4275 FN 01/27 FIXED 3                      | CUSIP: 31417AXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28362 | PA      | $28030.23      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H26                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H26 DF         | CUSIP: 38382YJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     404701 | PA      | $409502.19     | 0.08%             | 2072-12-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-26                                         | FANNIE MAE FNR 2024 26 FD                              | CUSIP: 3136BRWH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9583354 | PA      | $9573604.00    | 1.79%             | 2054-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                          | FANNIE MAE FNR 2013 5 EZ                               | CUSIP: 3136ABJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     513413 | PA      | $442220.30     | 0.08%             | 2042-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A    | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2000000 | PA      | $2001500.00    | 0.37%             | 2035-07-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784041 GN 08/45 FIXED 4                      | CUSIP: 3622A2P22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234686 | PA      | $222262.13     | 0.04%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2950 FN 12/46 FIXED 2.5                    | CUSIP: 31418CH49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64570 | PA      | $55442.29      | 0.01%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810896 FN 01/35 FLOATING VAR                 | CUSIP: 31406H3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18960 | PA      | $19461.31      | 0.00%             | 2035-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17232 FG 11/26 FIXED 3              | CUSIP: 3128PXA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18906 | PA      | $18719.55      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI          | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50008 | PA      | $2212.81       | 0.00%             | 2045-12-20      | Floating      | 0.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB3407 G2 07/47 FIXED 3.5                 | CUSIP: 3617ATYC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9923 | PA      | $9154.39       | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1089 G2 06/43 FIXED 3                   | CUSIP: 36179NF60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     870068 | PA      | $791324.96     | 0.15%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32000000 | PA      | $26542060.16   | 4.97%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A1                          | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     373687 | PA      | $198458.08     | 0.04%             | 2046-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8176 FN 04/33 FIXED 4.385                  | CUSIP: 3140LKCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166000 | PA      | $164851.99     | 0.03%             | 2033-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8BDA4 PIMCO SWAPTION 2.75 CALL USD 2026020         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $11108.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2002 W11                                    | FANNIEMAE WHOLE LOAN FNW 2002 W11 AV1                  | CUSIP: 31392EW63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7461 | PA      | $7311.79       | 0.00%             | 2032-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815323 FN 01/35 FLOATING VAR                 | CUSIP: 31406NYU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3724 | PA      | $3822.72       | 0.00%             | 2035-01-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA         | CUSIP: 38375US27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160066 | PA      | $157018.10     | 0.03%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2971 FN 08/45 FIXED VAR                    | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149392 | PA      | $143538.25     | 0.03%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT8451 FN 06/28 FIXED 2.5                    | CUSIP: 3138WWL98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25159 | PA      | $24545.67      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1372 G2 03/43 FIXED 2                   | CUSIP: 36179NQZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57620 | PA      | $47277.06      | 0.01%             | 2043-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2964 FN 04/32 FIXED 3                      | CUSIP: 31418CJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210052 | PA      | $204144.60     | 0.04%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                                           | FREDDIE MAC FHR 4367 GS                                | CUSIP: 3137BCL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10534 | PA      | $580.23        | 0.00%             | 2037-03-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-88                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 88 PZ          | CUSIP: 38378TJ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87073 | PA      | $82538.76      | 0.02%             | 2043-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR6                               | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4        | CUSIP: 39538BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338724 | PA      | $262112.51     | 0.05%             | 2046-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18632 FG 02/32 FIXED 3              | CUSIP: 3128MMV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44330 | PA      | $43202.24      | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93SA5 PIMCO FPPSWAPTION 4.31 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1500000 | NC      | $88942.50      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716768 GN 04/39 FIXED 5                      | CUSIP: 3620A2JM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4116 | PA      | $4136.03       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                 | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7999206 | PA      | $7288188.48    | 1.37%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA0244 GN 04/47 FIXED 4                      | CUSIP: 3617ACHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135651 | PA      | $127938.52     | 0.02%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF         | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     482416 | PA      | $482332.37     | 0.09%             | 2074-04-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5653 G2 12/48 FIXED 5                   | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105571 | PA      | $105618.30     | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QU49 OTC EPUT FN 5.0 JUL25 94.84375 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $1.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                            | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1          | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     958088 | PA      | $89823.04      | 0.02%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 810061 FN 03/35 FLOATING VAR                 | CUSIP: 31406G5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2221 | PA      | $2250.20       | 0.00%             | 2035-03-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                  | FREDDIE MAC FHR 2248 FB                                | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1010 | PA      | $1007.50       | 0.00%             | 2030-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750R3Z8 OTC ECAL FN 4.0 SEP25 93.828125 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-61893.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                         | FANNIE MAE FNR 2024 88 FC                              | CUSIP: 3136BT7D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14151105 | PA      | $14213684.14   | 2.66%             | 2054-12-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3340 FN 05/35 FIXED VAR                    | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239715 | PA      | $235348.88     | 0.04%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 482928 GN 01/29 FIXED 6.5                    | CUSIP: 36209VPM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $184.94        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8YJA8 PIMCO SWAPTION 5.0 PUT USD 20250711          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   31700000 | NC      | $3.17          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04591 FG 06/36 FIXED 5.5            | CUSIP: 3128M6NG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15136 | PA      | $15616.38      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53034 FG 12/47 FIXED 3.5            | CUSIP: 3132XVLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56233 | PA      | $51757.18      | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ9268 FR 11/54 FIXED 5.5            | CUSIP: 3133D1JM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3928018 | PA      | $3954500.03    | 0.74%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QVD8 OTC EPUT FN 5.5 JUL25 97.3515625 PUT         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $0.80          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9627 FN 12/54 FIXED 4.5                    | CUSIP: 3140QVVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3189039 | PA      | $3079233.60    | 0.58%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV2                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV2 A3B 144A | CUSIP: 17331WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150838 | PA      | $153859.14     | 0.03%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18666 FG 11/32 FIXED 3              | CUSIP: 3128MMW41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     155846 | PA      | $151580.30     | 0.03%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9GLA3 PIMCO SWAPTION 4.27 PUT USD 20250806         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-133.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3090 FN 08/32 FIXED 3                      | CUSIP: 31418CNG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54853 | PA      | $53324.07      | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677100 GN 07/38 FIXED 5.5                    | CUSIP: 36295QGH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3271 | PA      | $3352.74       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 345                                            | FREDDIEMAC STRIP FHS 345 C13                           | CUSIP: 31325VRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202434 | PA      | $30807.79      | 0.01%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                               | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A       | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150559 | PA      | $131447.79     | 0.02%             | 2037-12-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QJ9389 FR 11/54 FIXED 5              | CUSIP: 3133D1NE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4670401 | PA      | $4591654.19    | 0.86%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90133 FG 08/42 FIXED 4              | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     335078 | PA      | $322721.02     | 0.06%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3324 FN 08/34 FIXED 4                      | CUSIP: 3138WCVS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94440 | PA      | $92737.11      | 0.02%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO2671 FN 07/42 FIXED 4                      | CUSIP: 3138LS6H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7554 | PA      | $7302.92       | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735642 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67940 | PA      | $68042.24      | 0.01%             | 2042-08-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/25 0.00000                            | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     183000 | PA      | $182663.69     | 0.03%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A         | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330432 | PA      | $281178.60     | 0.05%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2 JUMBOS                             | CUSIP: 21H020675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27800000 | PA      | $22647794.03   | 4.24%             | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FJ         | CUSIP: 38376RLR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239515 | PA      | $239786.91     | 0.04%             | 2065-11-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A       | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17059 | PA      | $15604.13      | 0.00%             | 2036-03-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0310 G2 04/55 FIXED 6.5                 | CUSIP: 3618N5KY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99470 | PA      | $102308.26     | 0.02%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                             | CUSIP: 21H060689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3142255.20    | 0.59%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8448 FR 07/54 FIXED 6.5            | CUSIP: 3132DWL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7999202 | PA      | $8267609.96    | 1.55%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                         | FANNIE MAE FNR 2016 63 YI                              | CUSIP: 3136ATXU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27481 | PA      | $2167.17       | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844214 FN 11/35 FLOATING VAR                 | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10043 | PA      | $10210.99      | 0.00%             | 2035-11-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704587 GN 06/39 FIXED 5                      | CUSIP: 36296XXQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8585 | PA      | $8703.67       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7570 FR 05/54 FIXED 6              | CUSIP: 3132DVMT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2951887 | PA      | $3037656.15    | 0.57%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6054 FN 12/26 FIXED 3                      | CUSIP: 3138AXWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9313 | PA      | $9201.58       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A   | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     333191 | PA      | $319479.21     | 0.06%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750QVS5 OTC EPUT FN 5.5 AUG25 96.6953125 PUT         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $478.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0900 FN 07/43 FIXED VAR                    | CUSIP: 3140XGAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1260753 | PA      | $1184474.69    | 0.22%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 WO                                | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     655014 | PA      | $431152.76     | 0.08%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 386                                     | FANNIEMAE STRIP FNS 386 14                             | CUSIP: 3136FFSR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10329 | PA      | $2353.90       | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 783096 FH 04/35 FLOATING VAR         | CUSIP: 31349UNM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4142 | PA      | $4264.70       | 0.00%             | 2035-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA1741 FN 01/39 FIXED 5.5                    | CUSIP: 31416J5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30468 | PA      | $31239.22      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2211 G2 02/48 FIXED 3.5                 | CUSIP: 3617G8N41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18681 | PA      | $17232.99      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/25 0.00000                            | CUSIP: 912797NX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      51000 | PA      | $50988.14      | 0.01%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831215 FN 01/36 FIXED 6                      | CUSIP: 31407HN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10280 | PA      | $10749.34      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $90335.70      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735653 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8091 | PA      | $8109.77       | 0.00%             | 2044-10-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 665366 FN 08/27 FLOATING VAR                 | CUSIP: 31391FFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3820 | PA      | $3814.49       | 0.00%             | 2027-08-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3899 FN 11/26 FIXED 3                      | CUSIP: 31417AKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30456 | PA      | $30122.97      | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 946065 FN 09/37 FIXED 6.5                    | CUSIP: 31413HQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25476 | PA      | $26641.37      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79792 FG 07/38 FIXED 5              | CUSIP: 3128LD2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20168 | PA      | $20087.54      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062689<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -14350000 | PA      | $-14796420.32  | -2.77%            | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783007 GN 06/40 FIXED 4.5                    | CUSIP: 36241LKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421243 | PA      | $408568.73     | 0.08%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4277 FN 01/27 FIXED 3                      | CUSIP: 31417AXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15582 | PA      | $15400.15      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G67722 FG 03/49 FIXED 5              | CUSIP: 3132XCSK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     313706 | PA      | $314050.37     | 0.06%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A88029 FG 08/39 FIXED 6              | CUSIP: 3129344N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10046 | PA      | $10461.43      | 0.00%             | 2039-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U92BA5 PIMCO SWAPTION 3.245 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-118.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                 | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     189839 | PA      | $176771.92     | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                 | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139571 | PA      | $144846.17     | 0.03%             | 2038-05-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5034                                           | FREDDIE MAC FHR 5034 MI                                | CUSIP: 3137F6K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     387065 | PA      | $52580.52      | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6891 FN 08/53 FIXED 4.5                    | CUSIP: 3140QSUR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     764578 | PA      | $742991.94     | 0.14%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2006-69                            | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 69 PO          | CUSIP: 38375JBL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81264 | PA      | $66919.93      | 0.01%             | 2036-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI8187 FN 08/41 FIXED 4.5                    | CUSIP: 3138ANCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36992 | PA      | $35631.38      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR         | CUSIP: 31300LYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137212 | PA      | $142259.16     | 0.03%             | 2039-10-01      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-10                                         | FANNIE MAE FNR 2019 10 FA                              | CUSIP: 3136B3M72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195150 | PA      | $192947.10     | 0.04%             | 2049-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7589 FN 10/45 FIXED VAR                    | CUSIP: 3138EQNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3324 | PA      | $3089.37       | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DD0855 FN 01/55 FIXED 6.5                    | CUSIP: 3140B05R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3975400 | PA      | $4193242.65    | 0.79%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB6850 FN 07/54 FIXED 5.5                    | CUSIP: 3140AGTG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4229688 | PA      | $4238973.14    | 0.79%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4384 FN 03/53 FIXED VAR                    | CUSIP: 3140XK2S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500534 | PA      | $1481832.09    | 0.28%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

**Name of Applicant:** PIMCO ETF Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer