# EDGAR Filing Document

**Accession Number:** 0001738079
**File Stem:** 0001752724-23-068547
**Filing Date:** 2023-3
**Character Count:** 440586
**Document Hash:** c4017f2f616b5d0e436fa6dbdc5d93a6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-068547.hdr.sgml**: 20230328

**ACCESSION NUMBER**: 0001752724-23-068547

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230328

**DATE AS OF CHANGE**: 20230328

**PERIOD START**: 20230430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Managed Account Series II
- **CENTRAL INDEX KEY:** 0001738079
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23340
- **FILM NUMBER:** 23767025

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock U.S. Mortgage Portfolio (Series ID: S000062368)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202318 | Investor A Shares    |  |
| C000202319 | Investor C Shares    |  |
| C000202320 | Institutional Shares |  |

## Nport-Ex

Schedule of Investments (unaudited)

January 31, 2023

BlackRock U.S. Mortgage Portfolio
(Percentages shown are based on Net Assets)

| Security | Par (000) | Value | Security | Par (000) | Value |
| --- | --- | --- | --- | --- | --- |
| Asset-Backed Securities |  |  | Asset-Backed Securities (continued) |  |  |
| U.S. Loan Corporation Trust, Series 2020-1 |  |  | Series 2020-01-7, Class A, 3, Secuall 1500 |  |  |
| Schedule of Investments 1402 | 1,137 | $1,360,000 | Year 2020-01-7, Class A, 3, Secuall 1500 |  |  |
| Age Mortgage Loan Trust |  |  | Year 2020-01-7, Class A, 3, Secuall 1500 |  |  |
| Series 2020-01, Class B, 3.67%, 2022000 | 2 | 1,700 | Year 2020-01-7, Class B, 3, Secuall 1500 |  |  |
| Series 2020-01, Class A, 2.37%, 2022000 | 1,361 | 1,460,000 | Year 2020-01-7, Class A, 3, Secuall 1500 |  |  |
|  |  |  | Year 2020-01-7, Class A, 3, Secuall 1500 |  |  |
|  |  |  | Year 2020-01-7, Class A, 3, Secuall 1500 |  |  |
|  |  |  | Year 2020-01-7, Class A, 3, Secuall 1500 |  |  |

2

3

(unpublished) (continued)

January 31, 2023[{"box_2d": [2, 39, 477, 89], "label": "table", "caption": "

| Year | 2023 | 2022 | Year | 2023 | 2022 |
| --- | --- | --- | --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |
| 2024 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |
| 2025 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |
| 2026 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |
| 2027 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |
| 2028 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |
| 2029 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

| Year | 2023 | 2022 |
| --- | --- | --- |
| 2023 | 2,000.00 | 2,000.00 |

<table><td><b>2023</b></td><td><b>2023</b></td></tr></table>

"

# Schedule of Investments

(unaudited) (continued)

# BlackRock U.S. Mortgage Portfolio
(Percentages shown are based on last 6 years)

January 31, 2023

| 1. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| --- | --- | --- | --- | --- |
| 2. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| 3. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| 4. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| 5. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| 6. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| 7. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |
| 8. **PRODUCTION INCOME (BILL FROM BUDGET)** | 1.000 | 1.000 | 1.000 | 1.000 |

8

# Schedule of Investments

(unrealised) (continued)

# BlackRock U.S. Mortgage Portfolio
(Percentages shown are based on last 6 years)

January 31, 2023[{"box_2d": [0, 35, 476, 93], "label": "table", "caption": "

| Total Assets | 1,000,000 | 1,000,000 | Total Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |
| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |
| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |
| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

| Liabilities | 1,000,000 | 1,000,000 | Liabilities | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |

<table><tr><td>Liabilities</td><td>1,000,000</td><td>1,000,000</td><td>Liabilities</td><td>1,000,000</td><td>1,000,

# Schedule of Investments

(unaudited) (continued)

# BlackRock U.S. Mortgage Portfolio
(Percentages shown are based on Net Assets)

January 31, 2023[{"box_2d": [0, 34, 476, 93], "label": "table", "caption": "

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |
| Total Assets | 1,000,000 | 1,000,000 |
| Total Assets | 1,000,000 | 1,000,000 |
| Total Assets | 1,000,000 | 1,000,000 |
| Total Assets | 1,000,000 | 1,000,000 |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |
| Total Assets | 1,000,000 | 1,000,000 |
| Total Assets | 1,000,000 | 1,000,000 |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |
| Total Assets | 1,000,000 | 1,000,000 |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

| Total Assets | 1,000,000 | 1,000,000 |
| --- | --- | --- |

<table><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td><td>1,000,000</td><td>1,000,000</td></tr></tabletable><tr><td>Total Assets</td

# Schedule of Investments

(unaudited) (continued)

# BlackRock U.S. Mortgage Portfolio
(Percentages shown are based on last 4 years)

January 31, 2023

| 1,000,000 | 1,000,000 |
| --- | --- |
| 1,000,000 | 1,000,000 |
| 1,000,000 | 1,000,000 |
| 1,000,000 | 1,000,000 |
| 1,000,000 | 1,000,000 |
| 1,000,000 | 1,000,000 |

7

Schedule of Investments

(unaudited) (continued)

BlackRock U.S. Mortgage Portfolio

January 31, 2023

Deduction Financial Instruments Outstanding as of Period End

| 1. 2008 | 1,000,000 | 1. 2008 | 1,000,000 |
| --- | --- | --- | --- |
| 2. 2009 | 1,000,000 | 2. 2009 | 1,000,000 |
| 3. 2010 | 1,000,000 | 3. 2010 | 1,000,000 |
| 4. 2011 | 1,000,000 | 4. 2011 | 1,000,000 |
| 5. 2012 | 1,000,000 | 5. 2012 | 1,000,000 |
| 6. 2013 | 1,000,000 | 6. 2013 | 1,000,000 |
| 7. 2014 | 1,000,000 | 7. 2014 | 1,000,000 |
| 8. 2015 | 1,000,000 | 8. 2015 | 1,000,000 |
| 9. 2016 | 1,000,000 | 9. 2016 | 1,000,000 |
| 10. 2017 | 1,000,000 | 10. 2017 | 1,000,000 |
| 11. 2018 | 1,000,000 | 11. 2018 | 1,000,000 |
| 12. 2019 | 1,000,000 | 12. 2019 | 1,000,000 |
| 13. 2020 | 1,000,000 | 13. 2020 | 1,000,000 |
| 14. 2021 | 1,000,000 | 14. 2021 | 1,000,000 |
| 15. 2022 | 1,000,000 | 15. 2022 | 1,000,000 |
| 16. 2023 | 1,000,000 | 16. 2023 | 1,000,000 |
| 17. 2024 | 1,000,000 | 17. 2024 | 1,000,000 |
| 18. 2025 | 1,000,000 | 18. 2025 | 1,000,000 |
| 19. 2026 | 1,000,000 | 19. 2026 | 1,000,000 |
| 20. 2027 | 1,000,000 | 20. 2027 | 1,000,000 |
| 21. 2028 | 1,000,000 | 21. 2028 | 1,000,000 |
| 22. 2029 | 1,000,000 | 22. 2029 | 1,000,000 |
| 23. 2030 | 1,000,000 | 23. 2030 | 1,000,000 |
| 24. 2031 | 1,000,000 | 24. 2031 | 1,000,000 |
| 25. 2032 | 1,000,000 | 25. 2032 | 1,000,000 |
| 26. 2033 | 1,000,000 | 26. 2033 | 1,000,000 |
| 27. 2034 | 1,000,000 | 27. 2034 | 1,000,000 |
| 28. 2035 | 1,000,000 | 28. 2035 | 1,000,000 |
| 29. 2036 | 1,000,000 | 29. 2036 | 1,000,000 |
| 30. 2037 | 1,000,000 | 30. 2037 | 1,000,000 |
| 31. 2038 | 1,000,000 | 31. 2038 | 1,000,000 |
| 32. 2039 | 1,000,000 | 32. 2039 | 1,000,000 |
| 33. 2040 | 1,000,000 | 33. 2040 | 1,000,000 |
| 34. 2041 | 1,000,000 | 34. 2041 | 1,000,000 |
| 35. 2042 | 1,000,000 | 35. 2042 | 1,000,000 |
| 36. 2043 | 1,000,000 | 36. 2043 | 1,000,000 |
| 37. 2044 | 1,000,000 | 37. 2044 | 1,000,000 |
| 38. 2045 | 1,000,000 | 38. 2045 | 1,000,000 |
| 39. 2046 | 1,000,000 | 39. 2046 | 1,000,000 |
| 40. 2047 | 1,000,000 | 40. 2047 | 1,000,000 |
| 41. 2048 | 1,000,000 | 41. 2048 | 1,000,000 |
| 42. 2049 | 1,000,000 | 42. 2049 | 1,000,000 |
| 43. 2050 | 1,000,000 | 43. 2050 | 1,000,000 |
| 44. 2051 | 1,000,000 | 44. 2051 | 1,000,000 |
| 45. 2052 | 1,000,000 | 45. 2052 | 1,000,000 |
| 46. 2053 | 1,000,000 | 46. 2053 | 1,000,000 |
| 47. 2054 | 1,000,000 | 47. 2054 | 1,000,000 |
| 48. 2055 | 1,000,000 | 48. 2055 | 1,000,000 |
| 49. 2056 | 1,000,000 | 49. 2056 | 1,000,000 |
| 50. 2057 | 1,000,000 | 50. 2057 | 1,000,000 |
| 51. 2058 | 1,000,000 | 51. 2058 | 1,000,000 |
| 52. 2059 | 1,000,000 | 52. 2059 | 1,000,000 |
| 53. 2060 | 1,000,000 | 53. 2060 | 1,000,000 |
| 54. 2061 | 1,000,000 | 54. 2061 | 1,000,000 |
| 55. 2062 | 1,000,000 | 55. 2062 | 1,000,000 |
| 56. 2063 | 1,000,000 | 56. 2063 | 1,000,000 |
| 57. 2064 | 1,000,000 | 57. 2064 | 1,000,000 |
| 58. 2065 | 1,000,000 | 58. 2065 | 1,000,000 |
| 59. 2066 | 1,000,000 | 59. 2066 | 1,000,000 |
| 60. 2067 | 1,000,000 | 60. 2067 | 1,000,000 |
| 61. 2068 | 1,000,000 | 61. 2068 | 1,000,000 |
| 62. 2069 | 1,000,000 | 62. 2069 | 1,000,000 |
| 63. 2070 | 1,000,000 | 63. 2070 | 1,000,000 |
| 64. 2071 | 1,000,000 | 64. 2071 | 1,000,000 |
| 65. 2072 | 1,000,000 | 65. 2072 | 1,000,000 |
| 66. 2073 | 1,000,000 | 66. 2073 | 1,000,000 |
| 67. 2074 | 1,000,000 | 67. 2074 | 1,000,000 |
| 68. 2075 | 1,000,000 | 68. 2075 | 1,000,000 |
| 69. 2076 | 1,000,000 | 69. 2076 | 1,000,000 |
| 70. 2077 | 1,000,000 | 70. 2077 | 1,000,000 |
| 71. 2078 | 1,000,000 | 71. 2078 | 1,000,000 |
| 72. 2079 | 1,000,000 | 72. 2079 | 1,000,000 |
| 73. 2080 | 1,000,000 | 73. 2080 | 1,000,000 |
| 74. 2081 | 1,000,000 | 74. 2081 | 1,000,000 |
| 75. 2082 | 1,000,000 | 75. 2082 | 1,000,000 |
| 76. 2083 | 1,000,000 | 76. 2083 | 1,000,000 |
| 77. 2084 | 1,000,000 | 77. 2084 | 1,000,000 |
| 78. 2085 | 1,000,000 | 78. 2085 | 1,000,000 |
| 79. 2086 | 1,000,000 | 79. 2086 | 1,000,000 |
| 80. 2087 | 1,000,000 | 80. 2087 | 1,000,000 |
| 81. 2088 | 1,000,000 | 81. 2088 | 1,000,000 |
| 82. 2089 | 1,000,000 | 82. 2089 | 1,000,000 |
| 83. 2090 | 1,000,000 | 83. 2090 | 1,000,000 |
| 84. 2091 | 1,000,000 | 84. 2091 | 1,000,000 |
| 85. 2092 | 1,000,000 | 85. 2092 | 1,000,000 |
| 86. 2093 | 1,000,000 | 86. 2093 | 1,000,000 |
| 87. 2094 | 1,000,000 | 87. 2094 | 1,000,000 |
| 88. 2095 | 1,000,000 | 88. 2095 | 1,000,000 |
| 89. 2096 | 1,000,000 | 89. 2096 | 1,000,000 |
| 90. 2097 | 1,000,000 | 90. 2097 | 1,000,000 |
| 91. 2098 | 1,000,000 | 91. 2098 | 1,000,000 |
| 92. 2099 | 1,000,000 | 92. 2099 | 1,000,000 |
| 93. 2100 | 1,000,000 | 93. 2100 | 1,000,000 |

6

Schedule of Investments

(unaudited) (continued)

BlackRock U.S. Mortgage Portfolio

January 31, 2023[{"box_2d": [0, 30, 474, 95], "label": "table", "caption": "

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Description | Amount | Balance |
| --- | --- | --- |
| Property, plant and equipment, and equipment | $100,000 | $100,000 |

| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| --- | --- | --- |

| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| --- | --- | --- |

| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| --- | --- | --- |

| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| --- | --- | --- |

| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| --- | --- | --- |

| Property, plant and equipment, and equipment | $100,000 | $100,000 |
| --- | --- | --- |

<table><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable><thead><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable "<table "<table "<table "<table "<table "<table "<table "<table><tr><td>Property, plant and equipment, and equipment</td><td>$100,000</td><td>$100,000</td></tr></tabletabletable "<table "<table "<table "<table></tabletabletable "<table></tabletabletable></tabletabletable "
</tabletabletabletable "
</table{{tr><tr><tr><tr><td>Property, plant and equipment, and equipment</td><td>100,000</td><td>$100,000</td></tr></tabletabletable>"}]

Schedule of Investments

(unaudited) (continued)

BlackRock U.S. Mortgage Portfolio

January 31, 2023

Fair Value Hierarchy as of Period End (continued)

| December 31, 2023 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| --- | --- | --- | --- | --- | --- |
| December 31, 2022 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2021 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2020 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2019 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2018 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2017 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2016 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2015 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2014 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2013 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2012 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2011 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |
| December 31, 2010 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 | 1,000,000 |

10

Schedule of Investments

(unaudited) (continued)

BlackRock U.S. Mortgage Portfolio

January 31, 2023

| 1. The Company's Shareholding | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2. The Company's Shareholding | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |  |  |
| 3. The Company's Shareholding | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |  |  |
| 4. The Company's Shareholding | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 |  |  |

ii

| 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |

| Confidential | 5.00% (USD/USD)* | 4.000 | Reference Code |
| --- | --- | --- | --- |
| 1. Confidential 1.00, Class 01, 4.00% (USD/USD)* | 520 Effective Market Funds (MILLIONS), 0.00027 - 0.000,000 | 3.000 | 1.00,000 |
| 2. Confidential 1.00, Class 01, 4.00% (USD/USD)* | 380 Secured Markets (Pounding) (MILLIONS), 0.00125 - 0.00,000 | 4.000 | 0.00,000 |
| 3. Confidential 1.00, Class 01, 4.00% (USD/USD)* | 1.000 |  |  |
| A. Confidential 1.00, Class 01, 4.00% (USD/USD)* is presented under the Code that a specific measure of Land Management and activities financial instruments at the following points: |  |  |  |
| For general information on the Company's performance data is a reconciliation of Level 3 investments for which the Company's performance data is not available. |  |  | 10.000.000 |
| 4.00% (USD/USD)* |  |  | 53.100 |
| 5. Confidential 1.00, Class 01, 4.00% (USD/USD)* |  |  | 53.100 |
| 6. Confidential 1.00, Class 01, 4.00% (USD/USD)* |  |  | 53.100 |
| 7. Confidential 1.00, Class 01, 4.00% (USD/USD)* |  |  | 53.100 |
| 8. Confidential 1.00, Class 01, 4.00% (USD/USD)* |  |  | 53.100 |
| 9. Confidential 1.00, Class 01, 4.00% (USD/USD)* |  |  | 53.100 |

Paid by the Fund
Measured by the Fund
Deemed
Deemed
Agreed
Listed 1 - Unadjusted price quotations in active markets and charges or identical assets or liabilities that the Fund has the ability to account
Deemed
Deemed
Deemed
Amplified 2 - Other shareholder equity (including, but not limited to, granted prices for similar assets or liabilities or markets that can action, protect interests, repudiation not
reproduced or, if any, by 1993)
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed
Deemed

~~1.~~ 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. 38. 39. 40. 41. 42. 43. 44. 45. 46. 47. 48. 49. 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 62. 63. 64. 65. 66. 67. 68. 69. 70. 71. 72. 73. 74. 75. 76. 77. 78. 79. 80. 81. 82. 83. 84. 85. 86. 87. 88. 89. 90. 91. 92. 93. 94. 95. 96. 97. 98. 99. 100. 101. 102. 103. 104. 105. 106. 107. 108. 109. 110. 111. 112. 113. 114. 115. 116. 117. 118. 119. 120. 121. 122. 123. 124. 125. 126. 127. 128. 129. 130. 131. 132. 133. 134. 135. 136. 137. 138. 139. 140. 141. 142. 143. 144. 145. 146. 147. 148. 149. 150. 151. 152. 153. 154. 155. 156. 157. 158. 159. 160. 161. 162. 163. 164. 165. 166. 167. 168. 169. 170. 171. 172. 173. 174. 175. 176. 177. 178. 179. 180. 181. 182. 183. 184. 185. 186. 187. 188. 189. 190. 191. 192. 193. 194. 195. 196. 197. 198. 199. 200. 201. 202. 203. 204. 205. 206. 207. 208. 209. 210. 211. 212. 213. 214. 215. 216. 217. 218. 219. 220. 221. 222. 223. 224. 225. 226. 227. 228. 229. 230. 231. 232. 233. 234. 235. 236. 237. 238. 239. 240. 241. 242. 243. 244. 245. 246. 247. 248. 249. 250. 251. 252. 253. 254. 255. 256. 257. 258. 259. 260. 261. 262. 263. 264. 265. 266. 267. 268. 269. 270. 271. 272. 273. 274. 275. 276. 277. 278. 279. 280. 281. 282. 283. 284. 285. 286. 287. 288. 289. 290. 291. 292. 293. 294. 295. 296. 297. 298. 299. 300. 301. 302. 303. 304. 305. 306. 307. 308. 309. 310. 311. 312. 313. 314. 315. 316. 317. 318. 319. 320. 321. 322. 323. 324. 325. 326. 327. 328. 329. 330. 331. 332. 333. 334. 335. 336. 337. 338. 339. 340. 341. 342. 343. 344. 345. 346. 347. 348. 349. 350. 351. 352. 353. 354. 355. 356. 357. 358. 359. 360. 361. 362. 363. 364. 365. 366. 367. 368. 369. 370. 371. 372. 373. 374. 375. 376. 377. 378. 379. 380. 381. 382. 383. 384. 385. 386. 387. 388. 389. 390. 391. 392. 393. 394. 395. 396. 397. 398. 399. 400. 401. 402. 403. 404. 405. 406. 407. 408. 409. 410. 411. 412. 413. 414. 415. 416. 417. 418. 419. 420. 421. 422. 423. 424. 425. 426. 427. 428. 429. 430. 431. 432. 433. 434. 435. 436. 437. 438. 439. 440. 441. 442. 443. 444. 445. 446. 447. 448. 449. 450. 451. 452. 453. 454. 455. 456. 457. 458. 459. 460. 461. 462. 463. 464. 465. 466. 467. 468. 469. 470. 471. 472. 473. 474. 475. 476. 477. 478. 479. 480. 481. 482. 483. 484. 485. 486. 487. 488. 489. 490. 491. 492. 493. 494. 495. 496. 497. 498. 499. 500. 501. 502. 503. 504. 505. 506. 507. 508. 509. 510. 511. 512. 513. 514. 515. 516. 517. 518. 519. 520. 521. 522. 523. 524. 525. 526. 527. 528. 529. 530. 531. 532. 533. 534. 535. 536. 537. 538. 539. 540. 541. 542. 543. 544. 545. 546. 547. 548. 549. 550. 551. 552. 553. 554. 555. 556. 557. 558. 559. 560. 561. 562. 563. 564. 565. 566. 567. 568. 569. 570. 571. 572. 573. 574. 575. 576. 577. 578. 579. 580. 581. 582. 583. 584. 585. 586. 587. 588. 589. 590. 591. 592. 593. 594. 595. 596. 597. 598. 599. 600. 601. 602. 603. 604. 605. 606. 607. 608. 609. 610. 611. 612. 613. 614. 615. 616. 617. 618. 619. 620. 621. 622. 623. 624. 625. 626. 627. 628. 629. 630. 631. 632. 633. 634. 635. 636. 637. 638. 639. 640. 641. 642. 643. 644. 645. 646. 647. 648. 649. 650. 651. 652. 653. 654. 655. 656. 657. 658. 659. 660. 661. 662. 663. 664. 665. 666. 667. 668. 669. 670. 671. 672. 673. 674. 675. 676. 677. 678. 679. 680. 681. 682. 683. 684. 685. 686. 687. 688. 689. 690. 691. 692. 693. 694. 695. 696. 697. 698. 699. 700. 701. 702. 703. 704. 705. 706. 707. 708. 709. 710. 711. 712. 713. 714. 715. 716. 717. 718. 719. 720. 721. 722. 723. 724. 725. 726. 727. 728. 729. 730. 731. 732. 733. 734. 735. 736. 737. 738. 739. 740. 741. 742. 743. 744. 745. 746. 747. 748. 749. 750. 751. 752. 753. 754. 755. 756. 757. 758. 759. 760. 761. 762. 763. 764. 765. 766. 767. 768. 769. 770. 771. 772. 773. 774. 775. 776. 777. 778. 779. 780. 781. 782. 783. 784. 785. 786. 787. 788. 789. 790. 791. 792. 793. 794. 795. 796. 797. 798. 799. 800. 801. 802. 803. 804. 805. 806. 807. 808. 809. 810. 811. 812. 813. 814. 815. 816. 817. 818. 819. 820. 821. 822. 823. 824. 825. 826. 827. 828. 829. 830. 831. 832. 833. 834. 835. 836. 837. 838. 839. 840. 841. 842. 843. 844. 845. 846. 847. 848. 849. 850. 851. 852. 853. 854. 855. 856. 857. 858. 859. 860. 861. 862. 863. 864. 865. 866. 867. 868. 869. 870. 871. 872. 873. 874. 875. 876. 877. 878. 879. 880. 881. 882. 883. 884. 885. 886. 887. 888. 889. 890. 891. 892. 893. 894. 895. 896. 897. 898. 899. 900. 901. 902. 903. 904. 905. 906. 907. 908. 909. 910. 911. 912. 913. 914. 915. 916. 917. 918. 919. 920. 921. 922. 923. 924. 925. 926. 927. 928. 929. 930. 931. 932. 933. 934. 935. 936. 937. 938. 939. 940. 941. 942. 943. 944. 945. 946. 947. 948. 949. 950. 951. 952. 953. 954. 955. 956. 957. 958. 959. 960. 961. 962. 963. 964. 965. 966. 967. 968. 969. 970. 971. 972. 973. 974. 975. 976. 977. 978. 979. 980. 981. 982. 983. 984. 985. 986. 987. 988. 989. 990. 991. 992. 993. 994. 995. 996. 997. 998. 999. 1000

As of April 30, 2022, the Food used significant environmental impacts in determining the value of certain investments. As of January 31, 2023, the Food used information impacts in determining the value of certain investments are based on the value of the total market.

As effective between two changes in investment application requirements and two changes in amortized appreciation (depreciation) on investments will lead at January 31, 2023 to generate a change in the value of the total market. The value of the total market is based on the value of the total market.

The results from the analysis of the data presented in this report are based on the data presented in this report. The data presented in this report is based on the value of the total market. The data presented in this report is based on the value of the total market.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Managed Account Series II

- **b. Investment Company Act file number:** 811-23340

- **c. CIK number of Registrant:** 0001738079

- **d. LEI of Registrant:** 549300WCPAZ0Y468K362

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock U.S. Mortgage Portfolio

- **b. EDGAR series identifier (if any):** S000062368

- **c. LEI of Series:** 7XZIIEG4IA6DDFOL6S68

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

- **a. Date of fiscal year-end:** 2023-04-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $489361644.38

**Total Liabilities:** $157846684.97

**Net Assets:** $331514959.41

**Cash Not Reported:** $8173275.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3605.18000000 | **1-Year:** 2482.25000000 | **5-Year:** 61059.70000000 | **10-Year:** 80487.64000000 | **30-Year:** 1504.63000000

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

- **3-Month:** 23716.35000000 | **1-Year:** 932.51000000 | **5-Year:** 8368.62000000 | **10-Year:** 3620.28000000 | **30-Year:** 6471.84000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202319 | 3.06%                | -0.37%               | 3.15%                |
| Class ID C000202318 | 3.25%                | -0.42%               | 3.33%                |
| Class ID C000202320 | 3.26%                | -0.39%               | 3.34%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $336152.51               | $6159886.32                                |
| Month 2  | $3637435.11              | $-5744448.02                               |
| Month 3  | $161859.62               | $7407005.51                                |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37174 | PA      | $36926.20     | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $270.71       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    558000 | PA      | $541695.94    | 0.16%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                       | HONO Mortgage Trust, Series 2021-LULU, Class F                                                                               | CUSIP: 40390MAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $373690.48    | 0.11%             | 2036-10-15      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2014-UBS2, Class A5                                                                        | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $338989.58    | 0.10%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147281 | PA      | $140759.75    | 0.04%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122390 | PA      | $113667.46    | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2218 | PA      | $2109.42      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2682 | PA      | $2798.61      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK9, Class XA                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3463108 | PA      | $103721.12    | 0.03%             | 2054-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2017-PANW, Class A                                                                         | CUSIP: 12595HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1580000 | PA      | $1487966.26   | 0.45%             | 2029-10-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91992 | PA      | $87512.81     | 0.03%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2011-131, Class LZ                                                             | CUSIP: 3136A2P64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144563 | PA      | $143851.31    | 0.04%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-4, Class M5                                                              | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1969995 | PA      | $1489061.20   | 0.45%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53905 | PA      | $50333.43     | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class E                                                                         | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $433429.54    | 0.13%             | 2035-04-15      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2017-68, Class IE                                                              | CUSIP: 3136AXQ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    659292 | PA      | $110684.81    | 0.03%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543514 | PA      | $519971.46    | 0.16%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -681 | NC      | $-859495.91   | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8956957 | PA      | $326499.00    | 0.10%             | 2058-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes                                                                    | CUSIP: 3140J8TV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497708 | PA      | $483399.00    | 0.15%             | 2027-03-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YPM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95337 | PA      | $88811.00     | 0.03%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.44         | 0.00%             | 2024-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796YU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  38233000 | PA      | $37891891.29  | 11.43%            | 2023-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8700000 | PA      | $8637468.75   | 2.61%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-XL2, Class A                                                                       | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3190680 | PA      | $3101826.52   | 0.94%             | 2038-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-A, Class B                                                                             | CUSIP: 00969WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233068 | PA      | $226465.12    | 0.07%             | 2059-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LBAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1188 | PA      | $1233.36      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8060 | PA      | $8463.95      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KPYH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11876254 | PA      | $11831057.21  | 3.57%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class 2A                                                     | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1754715 | PA      | $1349718.69   | 0.41%             | 2047-06-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| 510 Loan Acquisition Trust                                                | 510 Loan Acquisition Trust, Series 2020-1, Class A                                                                           | CUSIP: 33831HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1136728 | PA      | $1063069.06   | 0.32%             | 2060-09-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29460 | PA      | $29856.35     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65761 | PA      | $63414.08     | 0.02%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98765 | PA      | $94051.57     | 0.03%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2017-70, Class SA                                          | CUSIP: 3136AXT39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642887 | PA      | $71087.16     | 0.02%             | 2047-09-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76959 | PA      | $74948.22     | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    500000 | PA      | $4219.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                         | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                                                  | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    730000 | PA      | $715296.41    | 0.22%             | 2037-02-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-54CB, Class 3A1                                                                          | CUSIP: 12668APL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1208809 | PA      | $678499.58    | 0.20%             | 2035-11-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71693 | PA      | $69525.02     | 0.02%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96477 | PA      | $96038.05     | 0.03%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10536 | PA      | $9675.02      | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93521 | PA      | $93096.38     | 0.03%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2021-VFN1                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    293519 | PA      | $193790.34    | 0.06%             | 2028-08-28      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10752 | PA      | $11299.64     | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2020-FACT, Class F                                                       | CUSIP: 126395AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $549738.60    | 0.17%             | 2037-10-15      | Floating      | 10.62%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641773 | PA      | $591909.50    | 0.18%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20411 | PA      | $20194.63     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                             | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-1, Class A3                                                       | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    417878 | PA      | $177494.17    | 0.05%             | 2036-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class G                                                                                          | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156000 | PA      | $142935.87    | 0.04%             | 2036-10-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69696 | PA      | $71997.63     | 0.02%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2019-B15, Class A5                                                                          | CUSIP: 08160KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2232777.75   | 0.67%             | 2072-12-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DPBK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8281791 | PA      | $7013457.90   | 2.12%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust                                            | PKHL Commercial Mortgage Trust, Series 2021-MF, Class NR                                                                     | CUSIP: 69356GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $272473.41    | 0.08%             | 2038-07-15      | Floating      | 10.46%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12435 | PA      | $12022.41     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                                     | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846473 | PA      | $795224.68    | 0.24%             | 2036-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A5                                                          | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569091 | PA      | $102207.69    | 0.03%             | 2036-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15092 | PA      | $15022.92     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class B                                                                             | CUSIP: 00969HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138573.42    | 0.04%             | 2060-09-27      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115603 | PA      | $109819.92    | 0.03%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5326346 | PA      | $491129.56    | 0.15%             | 2030-04-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28353 | PA      | $26923.00     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295QGH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39145 | PA      | $40828.95     | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3690000 | PA      | $3288819.81   | 0.99%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class C                                                                           | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397094 | PA      | $359902.52    | 0.11%             | 2051-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115198 | PA      | $120871.21    | 0.04%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83430 | PA      | $79360.58     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-C44, Class A4                                                             | CUSIP: 95001JAW7<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1588269.38   | 0.48%             | 2051-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2182 | PA      | $2306.21      | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6365 | PA      | $6298.43      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46029 | PA      | $45476.45     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13563 | PA      | $13501.63     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                     | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-MN1A, Class A1                                            | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1199980 | PA      | $724159.13    | 0.22%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   6818000 | PA      | $6805791.48   | 2.05%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4312 | PA      | $4159.56      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2015-74, Class IA                                                              | CUSIP: 3136AQDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959725 | PA      | $220837.31    | 0.07%             | 2045-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107146 | PA      | $102030.81    | 0.03%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17626520 | PA      | $15431980.01  | 4.65%             | 2053-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32996 | PA      | $34639.32     | 0.01%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class A5                                                | CUSIP: 61690VAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1103000 | PA      | $1058943.31   | 0.32%             | 2048-10-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13801000 | PA      | $11599309.22  | 3.50%             | 2053-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-D, Class C                                                                             | CUSIP: 00970CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496065 | PA      | $422587.82    | 0.13%             | 2060-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186838 | PA      | $179039.16    | 0.05%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144454 | PA      | $146984.48    | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795321 | PA      | $785778.07    | 0.24%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-104, Class IH                                                          | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1087042 | PA      | $167666.44    | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2007-3F, Class 4A2                                                                           | CUSIP: 3622MWAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3924479 | PA      | $622007.48    | 0.19%             | 2037-05-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1396 | PA      | $1434.34      | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39867 | PA      | $38827.80     | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                  | BDS Ltd., Series 2021-FL9, Class A                                                                                           | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    680000 | PA      | $656218.17    | 0.20%             | 2038-11-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR11, Class F                                                                       | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1642801.20   | 0.50%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M4                                                              | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753136 | PA      | $615523.50    | 0.19%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A                                               | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $579044.29    | 0.17%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33154 | PA      | $30689.05     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class A5                                                                               | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1641442.53   | 0.50%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                                            | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class A                                                                    | CUSIP: 48254CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630563 | PA      | $616551.15    | 0.19%             | 2037-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32248 | PA      | $31024.57     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Beast Mortgage Trust                                                      | Beast Mortgage Trust, Series 2021-SSCP, Class A                                                                              | CUSIP: 05601PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $280206.15    | 0.08%             | 2036-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1                                                              | CUSIP: 64830PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2246381 | PA      | $2087326.60   | 0.63%             | 2059-11-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59442 | PA      | $57888.65     | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18903 | PA      | $20082.07     | 0.01%             | 2039-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135554 | PA      | $131335.24    | 0.04%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2019-29, Class HY                                                           | CUSIP: 38381TFE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $92121.04     | 0.03%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                              | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A                                                       | CUSIP: 63874MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90778 | PA      | $87760.42     | 0.03%             | 2035-06-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class E                                                                                         | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $98703.58     | 0.03%             | 2035-10-15      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                             | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                                      | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163505 | PA      | $142046.34    | 0.04%             | 2035-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-AON, Class A                                                | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610000 | PA      | $571591.59    | 0.17%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30121 | PA      | $30740.35     | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W9RS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231512 | PA      | $223509.04    | 0.07%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XEFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19825 | PA      | $19427.50     | 0.01%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32410 | PA      | $32839.44     | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62116 | PA      | $60494.40     | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14126 | PA      | $13770.20     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32985 | PA      | $34049.80     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1147 | PA      | $1089.86      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99502 | PA      | $92410.10     | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $-42.39       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2006-SA2, Class 2A1                                                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98819 | PA      | $69160.94     | 0.02%             | 2036-08-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57701 | PA      | $54265.65     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234482 | PA      | $239299.93    | 0.07%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2019-25, Class SA                                          | CUSIP: 3136B4ZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3003460 | PA      | $316914.02    | 0.10%             | 2049-06-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31742 | PA      | $30943.01     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                             | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1990000 | PA      | $1752174.50   | 0.53%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50659 | PA      | $49891.97     | 0.02%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4879972 | PA      | $4432387.07   | 1.34%             | 2053-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                               | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $201859.25    | 0.06%             | 2042-11-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class A                                                                             | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2639134 | PA      | $2384852.99   | 0.72%             | 2061-06-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1426 | PA      | $1455.66      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51838 | PA      | $48721.16     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4613 | PA      | $4642.68      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    275000 | PA      | $-8150.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579095 | PA      | $597737.80    | 0.18%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                                                        | TVC Mortgage Trust, Series 2020-RTL1, Class A1                                                                               | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366245 | PA      | $364856.92    | 0.11%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25448 | PA      | $25861.51     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19446 | PA      | $19704.05     | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 4062, Class GI                                                                      | CUSIP: 3137ARFX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115149 | PA      | $6597.08      | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  47361000 | PA      | $47068611.66  | 14.20%            | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C                                                                      | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $258860.73    | 0.08%             | 2027-06-15      | Floating      | 8.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30628 | PA      | $29798.44     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2021-C12, Class A5                                                                              | CUSIP: 05552XBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2577578.10   | 0.78%             | 2054-11-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12149 | PA      | $12398.29     | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    866408 | PA      | $890356.21    | 0.27%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58970 | PA      | $58583.56     | 0.02%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2005-17, Class 1A6                                                                   | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25655 | PA      | $22247.00     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2465 | PA      | $2580.29      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23190 | PA      | $24239.34     | 0.01%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                                    | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $136595.31    | 0.04%             | 2034-09-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296QBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15021 | PA      | $15692.39     | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                                        | Cold Storage Trust, Series 2020-ICE5, Class A                                                                                | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688093 | PA      | $677748.64    | 0.20%             | 2037-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355758 | PA      | $337680.57    | 0.10%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25727 | PA      | $25228.21     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22164 | PA      | $22326.17     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Med Trust                                                                 | Med Trust, Series 2021-MDLN, Class G                                                                                         | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    244274 | PA      | $225655.74    | 0.07%             | 2038-11-15      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                      | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $595375.74    | 0.18%             | 2044-03-09      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2022-B35, Class A5                                                                          | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2472257.75   | 0.75%             | 2055-05-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416T2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7206 | PA      | $7283.83      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class C                                                                             | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463874 | PA      | $473567.39    | 0.14%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                       | HONO Mortgage Trust, Series 2021-LULU, Class E                                                                               | CUSIP: 40390MAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $541896.59    | 0.16%             | 2036-10-15      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101213 | PA      | $103290.49    | 0.03%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2019-XL, Class D                                                                        | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1167586.96   | 0.35%             | 2036-10-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA                                                             | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3661018 | PA      | $155343.58    | 0.05%             | 2050-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 4533, Class JI                                                                      | CUSIP: 3137BMFN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141293 | PA      | $25558.08     | 0.01%             | 2045-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208972 | PA      | $212372.57    | 0.06%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2                                                             | CUSIP: 126671RF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1271127 | PA      | $1201794.03   | 0.36%             | 2032-05-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212232 | PA      | $212676.29    | 0.06%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80720 | PA      | $84789.11     | 0.03%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $295473.09    | 0.09%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11877 | PA      | $11954.42     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-CGSS, Class A                                               | CUSIP: 466304AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $559638.58    | 0.17%             | 2036-12-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                            | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                                   | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1738422 | PA      | $1263784.55   | 0.38%             | 2037-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                                     | Tricon American Homes, Series 2020-SFR1, Class F                                                                             | CUSIP: 89613GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $997764.50    | 0.30%             | 2038-07-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2017-DELC, Class F                                                                              | CUSIP: 05552EAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618000 | PA      | $609309.68    | 0.18%             | 2036-08-15      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230UEK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106817 | PA      | $106117.42    | 0.03%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132349 | PA      | $127729.78    | 0.04%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Western Mortgage Reference Notes                                          | Western Mortgage Reference Notes, Series 2021-CL2, Class M2                                                                  | CUSIP: 95763PEP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520683 | PA      | $1510812.54   | 0.46%             | 2059-07-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5844 | PA      | $5565.24      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                           | Lehman XS Trust, Series 2007-16N, Class AF2                                                                                  | CUSIP: 52525BBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037989 | PA      | $1240687.89   | 0.37%             | 2047-09-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24009 | PA      | $22797.82     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A                                               | CUSIP: 465979AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    539000 | PA      | $538827.90    | 0.16%             | 2039-08-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| AJAX Mortgage Loan Trust                                                  | AJAX Mortgage Loan Trust, Series 2021-F, Class C                                                                             | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403037 | PA      | $368779.03    | 0.11%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2019-SFR4, Class G                                                                        | CUSIP: 74331AAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1906385.60   | 0.58%             | 2036-10-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XMJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51647 | PA      | $50866.60     | 0.02%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418RPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17755 | PA      | $18044.59     | 0.01%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180D2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60603 | PA      | $60943.32     | 0.02%             | 2043-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 4119, Class SC                                                  | CUSIP: 3137AUW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699011 | PA      | $78090.99     | 0.02%             | 2042-10-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2006-AR15, Class A1                                                                 | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610452 | PA      | $555672.30    | 0.17%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WGR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212127 | PA      | $197419.82    | 0.06%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA                                                                   | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3909916 | PA      | $279448.35    | 0.08%             | 2052-06-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418900 | PA      | $407963.88    | 0.12%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288000 | PA      | $243808.47    | 0.07%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410TVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10593 | PA      | $11040.07     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48833 | PA      | $45049.10     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80138 | PA      | $83690.19     | 0.03%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64170 | PA      | $60349.88     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105497 | PA      | $102593.93    | 0.03%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR25, Class A3                                                                        | CUSIP: 12593PAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535448 | PA      | $518174.25    | 0.16%             | 2048-08-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-A, Class C                                                                             | CUSIP: 00969WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549031 | PA      | $339249.23    | 0.10%             | 2059-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54152 | PA      | $53905.47     | 0.02%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20308 | PA      | $19293.03     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6751 | PA      | $6769.24      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22654 | PA      | $22775.06     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M6                                                              | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501070 | PA      | $1151069.09   | 0.35%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| IMT Trust                                                                 | IMT Trust, Series 2017-APTS, Class BFX                                                                                       | CUSIP: 44974AAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1193998.25   | 0.36%             | 2034-06-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                          | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15395000 | PA      | $441744.59    | 0.13%             | 2053-03-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2020-SH2, Class B1                                                                   | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2764000 | PA      | $2545037.30   | 0.77%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47202 | PA      | $49632.23     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296DQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16359 | PA      | $17276.29     | 0.01%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A                                                        | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    529000 | PA      | $524342.74    | 0.16%             | 2034-09-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43453 | PA      | $38322.17     | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020422<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5594000 | PA      | $5083329.00   | 1.53%             | 2038-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2015-A, Class B4                                                                       | CUSIP: 17323MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1394489 | PA      | $1251143.06   | 0.38%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239927 | PA      | $250550.47    | 0.08%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2014-68, Class YI                                                              | CUSIP: 3136ALSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210492 | PA      | $44218.27     | 0.01%             | 2044-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24917 | PA      | $24679.56     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4585 | PA      | $4429.59      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2014-150E, Class A                                                                    | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $535030.01    | 0.16%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52308 | PA      | $51345.04     | 0.02%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class E                                                                                           | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $704827.95    | 0.21%             | 2038-09-15      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98748 | PA      | $100776.77    | 0.03%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66309 | PA      | $68511.09     | 0.02%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13781 | PA      | $13300.35     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129458 | PA      | $121877.90    | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        35 | NC      | $12748.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2018-NPL2                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    523530 | PA      | $501967.44    | 0.15%             | 2028-08-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR8, Class 2A                                  | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115225 | PA      | $94748.45     | 0.03%             | 2046-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class B                                                                             | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216200 | PA      | $193618.99    | 0.06%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2017-139, Class IB                                                          | CUSIP: 38380HEU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520240 | PA      | $93837.18     | 0.03%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14661 | PA      | $14149.43     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C18, Class ASB                                                                             | CUSIP: 054975AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $702328.06    | 0.21%             | 2055-12-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65864 | PA      | $62656.27     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class F                                                                        | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402191 | PA      | $385074.34    | 0.12%             | 2038-07-15      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2021-980M, Class E                                                       | CUSIP: 12659RAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $271813.68    | 0.08%             | 2031-07-15      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR25, Class C                                                                         | CUSIP: 12593PBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $231563.94    | 0.07%             | 2048-08-10      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141230 | PA      | $130996.10    | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2022-AGSS, Class A                                                                | CUSIP: 36270DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $384242.74    | 0.12%             | 2027-11-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335763 | PA      | $334236.45    | 0.10%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        | -10300000 | PA      | $-30348.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2015-77                                                                        | CUSIP: 3136AQFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144929 | PA      | $235847.92    | 0.07%             | 2045-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58548 | PA      | $61481.14     | 0.02%             | 2041-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63640 | PA      | $60538.06     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13052 | PA      | $12964.38     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4856 | PA      | $5127.34      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-ATH2, Class A1                                                                                       | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1143225 | PA      | $1118889.85   | 0.34%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 4161, Class BW                                                                      | CUSIP: 3137AYL82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $175911.34    | 0.05%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23901 | PA      | $23300.40     | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2556 | PA      | $2544.04      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE8, Class 1A3                                                     | CUSIP: 07388JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1078792.08   | 0.33%             | 2036-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287910 | PA      | $296205.39    | 0.09%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A8                                                                          | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742602 | PA      | $145990.13    | 0.04%             | 2037-02-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15326 | PA      | $14940.18     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XHA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3655859 | PA      | $3577798.48   | 1.08%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class D                                                                                          | CUSIP: 05606GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $254583.45    | 0.08%             | 2036-06-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13506 | PA      | $13036.13     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33344 | PA      | $32589.03     | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32540 | PA      | $34303.66     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $208.74       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30242 | PA      | $30469.33     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-D, Class A                                                                             | CUSIP: 00970CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337185 | PA      | $322987.11    | 0.10%             | 2060-06-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   1012000 | PA      | $-135429.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2                                                              | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $351446.28    | 0.11%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76979 | PA      | $75839.91     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                                       | DBGS Mortgage Trust, Series 2018-BIOD, Class F                                                                               | CUSIP: 23306GAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210165 | PA      | $202334.36    | 0.06%             | 2035-05-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44679 | PA      | $43832.35     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2LQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31642 | PA      | $32423.29     | 0.01%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80370 | PA      | $83803.04     | 0.03%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2411, Class FJ                                                  | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2116 | PA      | $2105.79      | 0.00%             | 2029-12-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-SUN, Class A                                                                     | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $585310.78    | 0.18%             | 2035-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class XS                                                                            | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5586236 | PA      | $229051.32    | 0.07%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class C                                                                    | CUSIP: 12596WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    511000 | PA      | $419472.34    | 0.13%             | 2052-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class A5                                                                                             | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $609626.14    | 0.18%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29924 | PA      | $30127.28     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3300000 | PA      | $3119977.67   | 0.94%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139369 | PA      | $143225.94    | 0.04%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1831 | PA      | $1822.26      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                            | WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class A                                                                    | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $659584.00    | 0.20%             | 2027-11-15      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9845 | PA      | $9861.06      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5749 | PA      | $5460.92      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6634 | PA      | $6402.75      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -1800000 | PA      | $-35802.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2005-SA3, Class 1A                                                                                       | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1829321 | PA      | $898383.86    | 0.27%             | 2035-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265878 | PA      | $274625.48    | 0.08%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                  | Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1                                                                           | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678002 | PA      | $535811.27    | 0.16%             | 2047-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200116 | PA      | $185857.11    | 0.06%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27695 | PA      | $27265.71     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68007 | PA      | $64688.49     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79465 | PA      | $80046.49     | 0.02%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24878 | PA      | $24011.94     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F                                                               | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739000 | PA      | $2419019.06   | 0.73%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44532 | PA      | $42696.94     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21176 | PA      | $22438.23     | 0.01%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13222 | PA      | $12764.97     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39813 | PA      | $38427.38     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class B3                                                              | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1945263.25   | 0.59%             | 2059-11-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15916 | PA      | $15810.10     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35258 | PA      | $35665.20     | 0.01%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                               | Legacy Mortgage Asset Trust, Series 2019-SL2, Class A                                                                        | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1248394 | PA      | $1167761.67   | 0.35%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    159453 | PA      | $15047.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-ACB, Class D                                                | CUSIP: 46593EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $581981.82    | 0.18%             | 2039-03-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                               | AREIT Trust, Series 2022-CRE6, Class A                                                                                       | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    608848 | PA      | $584987.45    | 0.18%             | 2037-01-16      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                                | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $259621.08    | 0.08%             | 2039-01-05      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92815 | PA      | $88387.52     | 0.03%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   3100000 | PA      | $247146.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GMJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98262 | PA      | $97180.49     | 0.03%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                                 | MFT Trust, Series 2020-ABC, Class C                                                                                          | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $142646.88    | 0.04%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27882 | PA      | $28086.02     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1F57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96693 | PA      | $90053.88     | 0.03%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59314 | PA      | $60341.87     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14605 | PA      | $14223.38     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |   2265000 | PA      | $-160165.92   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412L5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       572 | PA      | $603.53       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-GPA, Class D                                                                                           | CUSIP: 05608UAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298873.29    | 0.09%             | 2039-10-15      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class C                                                             | CUSIP: 95000CBH5<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    133000 | PA      | $115799.81    | 0.03%             | 2059-01-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54398 | PA      | $53434.31     | 0.02%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2020-SFR3, Class G                                                                        | CUSIP: 74333AAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2500721.30   | 0.75%             | 2027-10-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30066 | PA      | $29378.51     | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46156 | PA      | $48326.55     | 0.01%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130010 | PA      | $134733.19    | 0.04%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3673 | PA      | $3651.36      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XSMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68005 | PA      | $65570.96     | 0.02%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012429<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4002000 | PA      | $3546616.18   | 1.07%             | 2038-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    800000 | PA      | $36744.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40564 | PA      | $40198.88     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4295 | PA      | $4085.83      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50791 | PA      | $51368.68     | 0.02%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2697289 | PA      | $2604569.69   | 0.79%             | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32113 | PA      | $31166.44     | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166721 | PA      | $164718.69    | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10421 | PA      | $10075.70     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153985 | PA      | $151706.83    | 0.05%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1678768 | PA      | $1633903.48   | 0.49%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M86W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35964 | PA      | $34748.19     | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3226156 | PA      | $226583.92    | 0.07%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25863 | PA      | $25212.16     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YNUR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20252 | PA      | $18868.89     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14701 | PA      | $14538.96     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5073000 | PA      | $5054947.53   | 1.52%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                               | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 2A4                                                        | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7797 | PA      | $7436.77      | 0.00%             | 2034-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K722, Class X1 | CUSIP: 3137BQC21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276740 | PA      | $14.56        | 0.00%             | 2023-03-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3857 | PA      | $3839.14      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85111 | PA      | $81528.00     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class A                                                                                          | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410000 | PA      | $1238904.68   | 0.37%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    159453 | PA      | $-15214.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60155 | PA      | $58905.93     | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust                                                        | Hawaii Hotel Trust, Series 2019-MAUI, Class A                                                                                | CUSIP: 41975AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $245614.33    | 0.07%             | 2038-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2022-SSP, Class A                                                                                          | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $367413.44    | 0.11%             | 2039-05-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19309 | PA      | $18388.14     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74639 | PA      | $71071.74     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13951 | PA      | $13500.82     | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                           | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class A4                                                                   | CUSIP: 92939FAT6<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    469323 | PA      | $457085.91    | 0.14%             | 2047-08-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1891 | PA      | $1998.13      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class E                                                                                          | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $99064.31     | 0.03%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29988 | PA      | $30089.66     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2022-FL7, Class A                                                                               | CUSIP: 30329XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $539950.48    | 0.16%             | 2039-10-19      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-DM, Class F                                                                  | CUSIP: 36265AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $224623.49    | 0.07%             | 2036-11-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 1A1                                                                             | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102653 | PA      | $32804.42     | 0.01%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                            | Banc of America Mortgage Trust, Series 2005-I, Class 2A5                                                                     | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81034 | PA      | $74210.06     | 0.02%             | 2035-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-A, Class A                                                                             | CUSIP: 00969WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1510927 | PA      | $1480677.77   | 0.45%             | 2059-12-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28946 | PA      | $27187.92     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-H4, Class A4                                                                     | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823938 | PA      | $1778488.20   | 0.54%             | 2051-12-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36688 | PA      | $37182.26     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AHS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35066 | PA      | $35334.18     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class C                                                                             | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470727 | PA      | $392628.38    | 0.12%             | 2060-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class E                                                                                              | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $421829.73    | 0.13%             | 2039-01-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4435000 | PA      | $3541763.28   | 1.07%             | 2053-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5159, Class KI                                                                      | CUSIP: 3137H3TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    617035 | PA      | $80038.66     | 0.02%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20906 | PA      | $21039.84     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                           | WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class A4                                                                  | CUSIP: 96221TAD9<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    597828 | PA      | $588582.50    | 0.18%             | 2047-03-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    145000 | PA      | $144352.21    | 0.04%             | 2023-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $682311.62    | 0.21%             | 2036-02-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194781 | PA      | $201870.98    | 0.06%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class A                                                                           | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1526875 | PA      | $1455094.30   | 0.44%             | 2051-11-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15625 | PA      | $15393.92     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16533 | PA      | $17456.31     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -1800000 | PA      | $-39561.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                     | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    661138 | PA      | $616585.78    | 0.19%             | 2036-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                          | Hilton USA Trust, Series 2016-HHV, Class C                                                                                   | CUSIP: 43300LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    518500 | PA      | $478969.66    | 0.14%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2016-60, Class SD                                          | CUSIP: 3136ATMX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1023526 | PA      | $80360.44     | 0.02%             | 2046-09-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41638 | PA      | $39607.31     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-1, Class 1A2B                                                                        | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125935 | PA      | $832358.34    | 0.25%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1                                                         | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2398408.50   | 0.72%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJDD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11835 | PA      | $12029.15     | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Prime Cash Management Institutional Shares               | Dreyfus Treasury Prime Cash Management Institutional Shares                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   1827462 | NS      | $1827462.09   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28661 | PA      | $30191.58     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147374 | PA      | $136961.33    | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5767 | PA      | $5722.86      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15174 | PA      | $15072.41     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -2250000 | PA      | $-61033.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128E45R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       787 | PA      | $808.93       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37332 | PA      | $35017.80     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                         | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $259886.96    | 0.08%             | 2035-04-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53423 | PA      | $54292.02     | 0.02%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77558 | PA      | $77972.68     | 0.02%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296DLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1964 | PA      | $2057.56      | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       710 | PA      | $724.62       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1545 | PA      | $1492.88      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10963 | PA      | $11188.27     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72567 | PA      | $69028.76     | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81391 | PA      | $82799.56     | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18855 | PA      | $19720.99     | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 4941, Class SH                                                  | CUSIP: 3137FQUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448306 | PA      | $48551.77     | 0.01%             | 2049-12-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15075 | PA      | $15134.68     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-3, Class F                                                                       | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1862726 | PA      | $1571224.61   | 0.47%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410GZJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        26 | PA      | $26.19        | 0.00%             | 2023-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                                 | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1596462 | PA      | $1067192.16   | 0.32%             | 2037-07-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16325 | PA      | $16853.64     | 0.01%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-SOAR, Class G                                                                      | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248120 | PA      | $236419.58    | 0.07%             | 2038-06-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25549 | PA      | $24701.93     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39036 | PA      | $38723.53     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2019-5, Class SA                                           | CUSIP: 3136B3L40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799679 | PA      | $77522.69     | 0.02%             | 2049-03-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17750 | PA      | $17812.99     | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77918 | PA      | $72643.96     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class A5                                                             | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $426817.35    | 0.13%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54572 | PA      | $52273.42     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class B                                                                           | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176600 | PA      | $171730.26    | 0.05%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241K2E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1251 | PA      | $1299.93      | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617AXW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15342 | PA      | $15078.19     | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796Y60<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2923000 | PA      | $2915824.44   | 0.88%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VINO, Class F                                                                      | CUSIP: 05608KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $164921.82    | 0.05%             | 2038-05-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26507 | PA      | $27270.43     | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10802 | PA      | $10261.39     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11695 | PA      | $12485.18     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7188 | PA      | $6844.40      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11651 | PA      | $11247.94     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46951 | PA      | $44872.39     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4                                                                     | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    656517 | PA      | $547117.03    | 0.17%             | 2036-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2020-INV1, Class B1                                                                       | CUSIP: 92537TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1044710.48   | 0.32%             | 2060-03-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2019-35, Class SA                                          | CUSIP: 3136B5JD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390182 | PA      | $40864.78     | 0.01%             | 2049-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR10, Class F                                                                       | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1498620 | PA      | $1265167.55   | 0.38%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110909 | PA      | $112396.45    | 0.03%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KUFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       185 | PA      | $189.91       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7499 | PA      | $7905.60      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        60 | NC      | $510836.28    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164788 | PA      | $173160.75    | 0.05%             | 2041-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126996 | PA      | $126707.01    | 0.04%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138MPZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4466 | PA      | $4407.10      | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41810 | PA      | $40395.88     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5994 | PA      | $5566.87      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19853 | PA      | $18438.82     | 0.01%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FP6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25578 | PA      | $24478.71     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       147 | NC      | $67541.37     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MDCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $152.35       | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                                  | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1057610 | PA      | $904299.73    | 0.27%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| STWD Trust                                                                | STWD Trust, Series 2021-FLWR, Class A                                                                                        | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1208000 | PA      | $1174010.38   | 0.35%             | 2036-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class A                                                                             | CUSIP: 00969HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80084 | PA      | $77710.34     | 0.02%             | 2060-09-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2018-32, Class PS                                          | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177200 | PA      | $156686.27    | 0.05%             | 2048-05-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171547 | PA      | $166207.28    | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                                                | MSCG Trust, Series 2018-SELF, Class F                                                                                        | CUSIP: 55358PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269592 | PA      | $259131.50    | 0.08%             | 2037-10-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                     | One Bryant Park Trust, Series 2019-OBP, Class A                                                                              | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072000 | PA      | $908371.42    | 0.27%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229618 | PA      | $233713.01    | 0.07%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117720 | PA      | $113180.71    | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                 | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                                         | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1609015 | PA      | $940952.07    | 0.28%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-2, Class 2CB                                   | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    762701 | PA      | $532409.38    | 0.16%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7WJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10998 | PA      | $11559.33     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-5, Class A3                                    | CUSIP: 93936PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216078 | PA      | $129294.86    | 0.04%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M4                                                              | CUSIP: 92257HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330449 | PA      | $1101232.19   | 0.33%             | 2049-10-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2646 | PA      | $2793.42      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1                                                         | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320000 | PA      | $3163829.52   | 0.95%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                               | AREIT Trust, Series 2021-CRE5, Class A                                                                                       | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    510027 | PA      | $490355.69    | 0.15%             | 2038-11-17      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63189 | PA      | $60062.37     | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CitiMortgage Alternative Loan Trust                                       | CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A6                                                               | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564374 | PA      | $515893.35    | 0.16%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class F                                                                                        | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $716212.13    | 0.22%             | 2038-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296QPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12700 | PA      | $13163.12     | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24599 | PA      | $24500.11     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82146 | PA      | $82756.31     | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A                                                | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576387 | PA      | $568474.03    | 0.17%             | 2038-04-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366380 | PA      | $372289.06    | 0.11%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1112830 | PA      | $28070.03     | 0.01%             | 2051-11-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVKJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63030 | PA      | $60941.42     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2022-FL6, Class A                                                                               | CUSIP: 30328DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    350000 | PA      | $349996.75    | 0.11%             | 2037-08-17      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2019-PRM, Class E                                                                | CUSIP: 29429JAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99543.44     | 0.03%             | 2036-05-10      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2017-144, Class DI                                                          | CUSIP: 38380G2H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353096 | PA      | $63535.60     | 0.02%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -2250000 | PA      | $-82281.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217740 | PA      | $220604.94    | 0.07%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104559 | PA      | $99135.52     | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87254 | PA      | $82059.72     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. II                                           | GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A                                                                   | CUSIP: 36228CUV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $328808.66    | 0.10%             | 2032-05-03      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LYY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34772 | PA      | $33716.32     | 0.01%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-18, Class M1                                                              | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1544769 | PA      | $1341532.82   | 0.40%             | 2037-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2634 | PA      | $2687.61      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23182 | PA      | $22254.63     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       128 | NC      | $689786.24    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1500000 | PA      | $127009.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DNYX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6667185 | PA      | $6739080.56   | 2.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XEE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27007 | PA      | $26571.76     | 0.01%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198S7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34750 | PA      | $34864.79     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $1362.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38280 | PA      | $40048.53     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                                             | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1856495 | PA      | $1708345.76   | 0.52%             | 2061-06-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64324 | PA      | $60495.21     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191629 | PA      | $184504.82    | 0.06%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148742 | PA      | $157043.38    | 0.05%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27372 | PA      | $25420.79     | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401753 | PA      | $388006.87    | 0.12%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class D                                                        | CUSIP: 054967AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $155577.76    | 0.05%             | 2034-09-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114472 | PA      | $109403.91    | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135202 | PA      | $136994.49    | 0.04%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28020 | PA      | $27547.80     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19704 | PA      | $20699.15     | 0.01%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26242000 | PA      | $26338357.21  | 7.94%             | 2053-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10594 | PA      | $10181.94     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59182 | PA      | $58283.35     | 0.02%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A6                                                          | CUSIP: 76113NAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457386 | PA      | $548756.12    | 0.17%             | 2036-07-25      | Floating      | 17.95%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12297 | PA      | $12917.21     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21818 | PA      | $21155.75     | 0.01%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX                                      | CUSIP: 38379C6M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184014 | PA      | $193563.84    | 0.06%             | 2039-07-20      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    327000 | PA      | $326963.74    | 0.10%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2010-141, Class LZ                                                             | CUSIP: 31398SYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209496 | PA      | $181394.56    | 0.05%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| MHC Commercial Mortgage Trust                                             | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                                                                      | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166000 | PA      | $163040.50    | 0.05%             | 2038-04-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    275000 | PA      | $-8073.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust                                         | GS Mortgage Securities Corp Trust, Series 2021-IP, Class E                                                                   | CUSIP: 36262MAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $278366.10    | 0.08%             | 2036-10-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90752 | PA      | $92215.62     | 0.03%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14161 | PA      | $13534.16     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022428<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1563000 | PA      | $1459497.37   | 0.44%             | 2038-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54365 | PA      | $55194.13     | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YNK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95034 | PA      | $88662.60     | 0.03%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1754756 | PA      | $1611907.89   | 0.49%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1665 | PA      | $1646.57      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109774 | PA      | $111494.64    | 0.03%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4378 | PA      | $4324.62      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class B                                                                             | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256488 | PA      | $220201.58    | 0.07%             | 2061-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10947 | PA      | $11171.72     | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 22A                                                     | CUSIP: 07389YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    558695 | PA      | $512538.68    | 0.15%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19267 | PA      | $18628.51     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1700000 | PA      | $-86.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23937 | PA      | $22771.52     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5783 | PA      | $5632.06      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RASC Series Trust                                                         | RASC Series Trust, Series 2006-EMX9, Class 1A4                                                                               | CUSIP: 74924VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1196181 | PA      | $948287.42    | 0.29%             | 2036-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-23, Class CI                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661059 | PA      | $109624.02    | 0.03%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78235 | PA      | $74501.80     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53700 | PA      | $50502.83     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  51720000 | PA      | $51073500.00  | 15.41%            | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173885 | PA      | $178895.27    | 0.05%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AW3Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223170 | PA      | $226380.67    | 0.07%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2018-A, Class B                                                                             | CUSIP: 00969EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950 | PA      | $1924.69      | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92784 | PA      | $88139.50     | 0.03%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                                       | Life Mortgage Trust, Series 2021-BMR, Class F                                                                                | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164156 | PA      | $157167.05    | 0.05%             | 2038-03-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5759 | PA      | $5574.64      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62832 | PA      | $61922.00     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-SDMF, Class A                                                                                          | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    573000 | PA      | $556700.61    | 0.17%             | 2034-09-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25990 | PA      | $26360.61     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XB                                                                               | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $58963.00     | 0.02%             | 2053-04-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-STAR, Class B                                                                | CUSIP: 36264LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $842837.64    | 0.25%             | 2036-12-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $955879.80    | 0.29%             | 2038-09-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XA                                                                               | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3006570 | PA      | $217253.87    | 0.07%             | 2053-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3646 | PA      | $3847.05      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QS1, Class 1A5                                                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1062399 | PA      | $743474.17    | 0.22%             | 2037-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22749 | PA      | $23377.89     | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A2                                                          | CUSIP: 76113NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2601059 | PA      | $500401.54    | 0.15%             | 2036-07-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3                                                                     | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650132 | PA      | $696658.20    | 0.21%             | 2036-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2019-53, Class V                                                            | CUSIP: 38380M4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182971 | PA      | $168838.11    | 0.05%             | 2031-08-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31368HNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209328 | PA      | $212705.06    | 0.06%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25362 | PA      | $24542.54     | 0.01%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                                   | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241331 | PA      | $394812.25    | 0.12%             | 2046-04-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199257 | PA      | $192649.19    | 0.06%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     46826 | PA      | $8398.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7132 | PA      | $7018.37      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134167 | PA      | $128227.71    | 0.04%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A7                                                                          | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485207 | PA      | $626067.41    | 0.19%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43454 | PA      | $41453.21     | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56443 | PA      | $53694.71     | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2021-BHAR, Class E                                                                                        | CUSIP: 12659VAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $281303.58    | 0.08%             | 2038-11-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32759 | PA      | $31375.83     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-101, Class SL                                      | CUSIP: 38380FH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429630 | PA      | $51126.62     | 0.02%             | 2047-07-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2010-6R, Class 2A6B                                                      | CUSIP: 12643PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665626 | PA      | $674738.61    | 0.20%             | 2037-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3565 | PA      | $3386.57      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9500 | PA      | $9409.77      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21565 | PA      | $20498.00     | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25934 | PA      | $25057.33     | 0.01%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2013-10, Class PI                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492344 | PA      | $66461.15     | 0.02%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20985 | PA      | $20331.57     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                             | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1934865 | PA      | $1547891.75   | 0.47%             | 2039-05-28      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20083 | PA      | $18887.25     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2007-BC3, Class 1A                                                             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683939 | PA      | $658141.42    | 0.20%             | 2047-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16005 | PA      | $15672.84     | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29184 | PA      | $29522.51     | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   7792000 | PA      | $7715426.54   | 2.33%             | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6858 | PA      | $6450.08      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP2, Class A                                                                                       | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1032247.98   | 0.31%             | 2036-11-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33193 | PA      | $31249.70     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                            | BCAP LLC Trust, Series 2012-RR3, Class 3A8                                                                                   | CUSIP: 05539BAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1465662 | PA      | $1276779.69   | 0.39%             | 2037-07-26      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38049 | PA      | $36442.30     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes                                                                    | CUSIP: 3140J8TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163706 | PA      | $157870.28    | 0.05%             | 2027-09-01      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3624000 | PA      | $3131504.05   | 0.94%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208000 | PA      | $163065.09    | 0.05%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132342 | PA      | $136412.47    | 0.04%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dryden XXVIII Senior Loan Fund                                            | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR                                                                  | CUSIP: 26251BAL0<br>LEI: 549300K4FV16ICO2FF98 | Long             | ABS-CBDO         | CORP              | KY        |    995660 | PA      | $992095.47    | 0.30%             | 2030-08-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183249 | PA      | $176887.65    | 0.05%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13335 | PA      | $13608.55     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class B3                                                                            | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381950 | PA      | $146575.52    | 0.04%             | 2060-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132L8EV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213393 | PA      | $198948.63    | 0.06%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                         | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $354472.90    | 0.11%             | 2044-01-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     46826 | PA      | $-8565.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85471 | PA      | $84756.38     | 0.03%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN38, Class A5                                                                                             | CUSIP: 06540EAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1441679.90   | 0.43%             | 2064-12-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-41                                                                        | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789603 | PA      | $131623.24    | 0.04%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 4901, Class CS                                                  | CUSIP: 3137FMKD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499900 | PA      | $52218.17     | 0.02%             | 2049-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24376 | PA      | $22672.08     | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class G                                                        | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    300000 | PA      | $277500.00    | 0.08%             | 2034-12-15      | Floating      | 8.70%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17508 | PA      | $17324.72     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51304 | PA      | $52046.00     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class A4                                                                   | CUSIP: 12596GAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $582938.10    | 0.18%             | 2051-11-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2006-22, Class M1                                                              | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2076137 | PA      | $1786476.04   | 0.54%             | 2047-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59420 | PA      | $57500.32     | 0.02%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR1, Class F                                                                        | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2072482.50   | 0.63%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56541 | PA      | $54573.57     | 0.02%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55665 | PA      | $53008.04     | 0.02%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A                                                                  | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1338690 | PA      | $1290226.79   | 0.39%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $632.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-D, Class B                                                                             | CUSIP: 00970CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $193999.01    | 0.06%             | 2060-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6274 | PA      | $6214.01      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69088 | PA      | $67656.51     | 0.02%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1500000 | PA      | $49803.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFTR Interest Futures                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -3 | NC      | $107.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BHMS                                                                      | BHMS, Series 2018-ATLS, Class C                                                                                              | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269000 | PA      | $256209.35    | 0.08%             | 2035-07-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                           | ChaseFlex Trust, Series 2007-1, Class 2A7                                                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1903973 | PA      | $765662.86    | 0.23%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class B1                                                                 | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1985000 | PA      | $1805774.35   | 0.54%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52142 | PA      | $50781.83     | 0.02%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25188 | PA      | $24910.44     | 0.01%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class D                                                                                | CUSIP: 05492VAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $339898.90    | 0.10%             | 2053-04-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912796CT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1602000 | PA      | $1588317.08   | 0.48%             | 2023-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5176, Class QI                                                                      | CUSIP: 3137H4ES5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608887 | PA      | $89347.88     | 0.03%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2006-9F, Class 3A1                                                                           | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584970 | PA      | $526501.48    | 0.16%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42194 | PA      | $40444.39     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20745 | PA      | $21108.08     | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268722 | PA      | $282534.27    | 0.09%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alen Mortgage Trust                                                       | Alen Mortgage Trust, Series 2021-ACEN, Class D                                                                               | CUSIP: 01449NAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276000 | PA      | $218993.72    | 0.07%             | 2034-04-15      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24751 | PA      | $26310.91     | 0.01%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18492 | PA      | $17944.81     | 0.01%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77603 | PA      | $75574.73     | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33866 | PA      | $34053.10     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13469 | PA      | $13022.20     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class C                                                                    | CUSIP: 12597BBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392000 | PA      | $329480.31    | 0.10%             | 2052-09-15      | Fixed         | 3.93%                 | No            |                  3 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class F                                                                                          | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $419576.90    | 0.13%             | 2039-01-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23751 | PA      | $24162.67     | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30920 | PA      | $29834.82     | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                          | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |   2950000 | PA      | $2889741.83   | 0.87%             | 2039-02-17      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17968 | PA      | $18223.93     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2020-43                                                 | CUSIP: 38380PAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2163584 | PA      | $154898.95    | 0.05%             | 2061-11-16      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        12 | NC      | $28484.41     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13152 | PA      | $12904.10     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27152 | PA      | $26233.45     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62932 | PA      | $60993.59     | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1700000 | PA      | $-156836.94   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15372 | PA      | $15187.02     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68772 | PA      | $66446.06     | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E                                                       | CUSIP: 12653VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $275070.57    | 0.08%             | 2036-05-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5159, Class PI                                                                      | CUSIP: 3137H3UB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950643 | PA      | $130065.20    | 0.04%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2016-78, Class CS                                          | CUSIP: 3136AUEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325838 | PA      | $98290.61     | 0.03%             | 2039-05-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5411 | PA      | $5222.53      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class A                                                                                          | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $685120.80    | 0.21%             | 2039-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Western Mortgage Reference Notes                                          | Western Mortgage Reference Notes, Series 2021-CL2, Class M1                                                                  | CUSIP: 95763PEN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1511763 | PA      | $1501768.13   | 0.45%             | 2059-07-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14668 | PA      | $14285.53     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54849 | PA      | $51583.41     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43071 | PA      | $41541.83     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48078 | PA      | $46452.07     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2010-134, Class KZ                                                             | CUSIP: 31398SND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101995 | PA      | $98430.83     | 0.03%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1                                                                 | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2306035.46   | 0.70%             | 2065-05-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86112 | PA      | $81917.46     | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-HR2, Class D                                                                     | CUSIP: 61691NAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $388993.62    | 0.12%             | 2050-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                        | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $431196.83    | 0.13%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161836 | PA      | $159896.96    | 0.05%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46177 | PA      | $45223.85     | 0.01%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148985 | PA      | $153268.82    | 0.05%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53135 | PA      | $52038.22     | 0.02%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2020-HB4, Class M4                                                                                          | CUSIP: 12529LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $840113.73    | 0.25%             | 2030-12-26      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51389 | PA      | $49829.55     | 0.02%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Managed Account Series II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer