# EDGAR Filing Document

**Accession Number:** 0000832327
**File Stem:** 0001410368-26-016956
**Filing Date:** 2026-2
**Character Count:** 174920
**Document Hash:** 607ca3957604c51792729081854a035f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-016956.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0001410368-26-016956

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK INCOME TRUST, INC.
- **CENTRAL INDEX KEY:** 0000832327

**ORGANIZATION NAME:**
- **EIN:** 133463349
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05542
- **FILM NUMBER:** 26668845

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **STREET 2:** MUTUAL FUND DEPARTMENT
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 888-825-2257

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **STREET 2:** MUTUAL FUND DEPARTMENT
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK INCOME TRUST INC.
- **DATE OF NAME CHANGE:** 20121009

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK INCOME TRUST INC
- **DATE OF NAME CHANGE:** 19930309

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKSTONE INCOME TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Income Trust, Inc.

- **b. Investment Company Act file number:** 811-05542

- **c. CIK number of Registrant:** 0000832327

- **d. LEI of Registrant:** TZVEKBHO1R4X5PI73286

- **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 Income Trust, Inc.

- **c. LEI of Series:** TZVEKBHO1R4X5PI73286

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $524760396.47

**Total Liabilities:** $151818996.98

**Net Assets:** $372941399.49

**Delayed Delivery Securities:** $18519691.86

**Cash Not Reported:** $965162.64

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6303.83000000 | **1-Year:** 2744.52000000 | **5-Year:** 100253.37000000 | **10-Year:** 82503.17000000 | **30-Year:** 58883.70000000

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

- **3-Month:** 0.01000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 36.56000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -1.59%               | 0.88%                | -0.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $112177.43               | $1061507.17                                |
| Month 2  | $19640.27                | $2043254.74                                |
| Month 3  | $-270458.83              | $2866481.49                                |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $170247.66    | 0.05%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30770000 | PA      | $27211016.87  | 7.30%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $369765.62    | 0.10%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20215000 | PA      | $18623858.35  | 4.99%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042616<br>LEI: 254900HROIFWPRGM1V77 | Short            | ABS-MBS          | USGSE             | US        |    -28000 | PA      | $-27331.98    | -0.01%            | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28000 | PA      | $27340.66     | 0.01%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -28000 | PA      | $-27340.66    | -0.01%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    642000 | PA      | $640194.38    | 0.17%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Trust 2025-IND3                                                           | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212000 | PA      | $212132.42    | 0.06%             | 2042-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc     | BAMLL Trust 2024-BHP                                                           | CUSIP: 05493WAA0<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $135222.91    | 0.04%             | 2039-08-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-EWEST                                                          | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $344999.45    | 0.09%             | 2042-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2018-TALL Mortgage Trust                                                 | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $274512.64    | 0.07%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                    | BLP Commercial Mortgage Trust 2023-IND                                         | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489265 | PA      | $489869.37    | 0.13%             | 2040-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-FPM                                                            | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263000 | PA      | $265983.71    | 0.07%             | 2040-10-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-660F                                       | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $335941.89    | 0.09%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-660F                                       | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $130404.66    | 0.03%             | 2042-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-TY                                                              | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213000 | PA      | $212934.57    | 0.06%             | 2038-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ROIC                                                             | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89664 | PA      | $89552.28     | 0.02%             | 2030-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                                             | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510416 | PA      | $511053.89    | 0.14%             | 2040-06-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR 2025-ALDR Mortgage Trust                                                   | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $196235.93    | 0.05%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-HUB                                        | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $145573.50    | 0.04%             | 2041-04-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-JDI                                          | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $590548.35    | 0.16%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-BIO                                                              | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144685.44    | 0.04%             | 2041-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-VLT4                                                             | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $104967.14    | 0.03%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                                         | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $159163.90    | 0.04%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LIFE                                                             | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $337465.76    | 0.09%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Commercial Mortgage Trust 2025-STAR                                        | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $160582.82    | 0.04%             | 2042-11-05      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-OMG                                                              | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209000 | PA      | $209130.31    | 0.06%             | 2042-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-VOLT                                                             | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465000 | PA      | $465289.23    | 0.12%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ARIA                                                             | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $1155379.43   | 0.31%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And Loan Assoc.         | BAY 2025-LIVN Mortgage Trust                                                   | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $481334.39    | 0.13%             | 2035-05-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2025-V18 Mortgage Trust                                              | CUSIP: 08164EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $205605.28    | 0.06%             | 2058-10-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-5MW                                        | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $509970.01    | 0.14%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                  | BRAVO Residential Funding Trust 2021-NQM1                                      | CUSIP: 10569TAA6<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |     28813 | PA      | $26553.49     | 0.01%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                       | BRCK Trust 2025-830B                                                           | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805000 | PA      | $805212.36    | 0.22%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-GPA3                                         | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184612 | PA      | $184611.49    | 0.05%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-TAIL                                                             | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362000 | PA      | $361999.96    | 0.10%             | 2035-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2025-BCAT                                         | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570179 | PA      | $570889.74    | 0.15%             | 2042-08-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Centragas                                        | CENT 2025-CITY                                                                 | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $339074.47    | 0.09%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust              | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101305 | PA      | $22260.61     | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust 2025-SBAY          | CIP Commercial Mortgage Trust 2025-SBAY                                        | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283000 | PA      | $283262.82    | 0.08%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                        | CHI Commercial Mortgage Trust 2025-110W                                        | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $936511.80    | 0.25%             | 2040-12-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                  | CSAIL 2018-C14 Commercial Mortgage Trust                                       | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1878951 | PA      | $21712.97     | 0.01%             | 2051-11-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| CRB Commercial Mortgage Trust                    | CRB Commercial Mortgage Trust 2025-1                                           | CUSIP: 12629SAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1996370 | PA      | $1992024.67   | 0.53%             | 2058-09-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-ATH1                                                                 | CUSIP: 12660BAM3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     78608 | PA      | $76802.46     | 0.02%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                           | CSTL Commercial Mortgage Trust 2025-GATE2                                      | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $289082.67    | 0.08%             | 2042-11-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-ATR1                                    | CUSIP: 16158RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26923 | PA      | $27216.75     | 0.01%             | 2049-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2023-SMRT                                  | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $350388.39    | 0.09%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-2 Mortgage Loan Trust                                                | CUSIP: 19685EAA9<br>LEI: 2138001HZNOLT1K3WY73 | Long             | ABS-MBS          | CORP              | US        |     94657 | PA      | $90943.84     | 0.02%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-WCL1 MORTGAGE TRUST                                                  | CUSIP: 20047DAA2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $410506.80    | 0.11%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                | CRSO TR 2023 BRND                                                              | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176923 | PA      | $183743.70    | 0.05%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                           | CSTL Commercial Mortgage Trust 2024-GATE                                       | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $427703.55    | 0.11%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limited                  | DK Trust 2025-LXP                                                              | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73000 | PA      | $73113.09     | 0.02%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                      | DBC 2025-DBC Mortgage Trust                                                    | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $565436.35    | 0.15%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                  | Durst Commercial Mortgage Trust 2025-151                                       | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215000 | PA      | $219309.27    | 0.06%             | 2042-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                      | Extended Stay America Trust 2025-ESH                                           | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190296.65    | 0.05%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128P8H20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116097 | PA      | $114279.85    | 0.03%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                                        | CUSIP: 3130AKRV0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    300000 | PA      | $252758.56    | 0.07%             | 2033-01-27      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108859 | PA      | $102247.62    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DTZH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47576 | PA      | $45448.62     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142206 | PA      | $126012.50    | 0.03%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507217 | PA      | $450201.68    | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335ARP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2955294 | PA      | $3040907.00   | 0.82%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335BUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640812 | PA      | $611157.34    | 0.16%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133BVX34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4911380 | PA      | $4930594.21   | 1.32%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                                         | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $387280.73    | 0.10%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                                         | CUSIP: 3133ENPP9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    400000 | PA      | $385549.80    | 0.10%             | 2030-02-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KPDJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5174631 | PA      | $4959387.46   | 1.33%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KPQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5355523 | PA      | $5254527.26   | 1.41%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KQW44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4868605 | PA      | $4916443.55   | 1.32%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KY4C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390717 | PA      | $398118.56    | 0.11%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KYXJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17430 | PA      | $16787.23     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 3133TDPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9871 | PA      | $9846.09      | 0.00%             | 2028-01-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3133TNM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82458 | PA      | $87317.51     | 0.02%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 1999-W4                                                 | CUSIP: 31359VB28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4925 | PA      | $4779.92      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 1999-W4                                                 | CUSIP: 31359VB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11444 | PA      | $357.20       | 0.00%             | 2028-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A03W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2755079 | PA      | $2151841.70   | 0.58%             | 2041-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A14G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14350496 | PA      | $13944022.51  | 3.74%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A1LW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21321069 | PA      | $21497012.86  | 5.76%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A2V67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9242146 | PA      | $970655.49    | 0.26%             | 2041-12-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A6FA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127654 | PA      | $16565.61     | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A8DZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1639065 | PA      | $1525909.53   | 0.41%             | 2042-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2960270 | PA      | $353459.20    | 0.09%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AD3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109294 | PA      | $89338.00     | 0.02%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AP6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6059821 | PA      | $371047.10    | 0.10%             | 2045-09-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AYQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433336 | PA      | $351504.09    | 0.09%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3358533 | PA      | $2880634.77   | 0.77%             | 2048-05-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2MC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1848183 | PA      | $1816903.75   | 0.49%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B8H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5695687 | PA      | $1351452.21   | 0.36%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BBCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $4160768.15   | 1.12%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BCPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166773 | PA      | $154623.43    | 0.04%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16351165 | PA      | $2948043.18   | 0.79%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14481718 | PA      | $2589152.98   | 0.69%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BHEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21240311 | PA      | $3910579.10   | 1.05%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BJDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5531135 | PA      | $901278.50    | 0.24%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $925534.50    | 0.25%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BNCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761534 | PA      | $659517.44    | 0.18%             | 2051-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575913 | PA      | $577668.28    | 0.15%             | 2054-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714628 | PA      | $716769.49    | 0.19%             | 2054-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192829 | PA      | $194588.64    | 0.05%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266119 | PA      | $269061.84    | 0.07%             | 2055-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BXGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11158520 | PA      | $11168026.39  | 2.99%             | 2055-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                      | CUSIP: 3136FAT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160409 | PA      | $1020653.22   | 0.27%             | 2033-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                      | CUSIP: 3136FGRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1625668 | PA      | $1293527.87   | 0.35%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A2AG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1263603 | PA      | $1228584.72   | 0.33%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A3QD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1971965 | PA      | $1899605.43   | 0.51%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A4U96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2827800 | PA      | $2720865.82   | 0.73%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AAW82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4957526 | PA      | $5116695.78   | 1.37%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AFMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11901389 | PA      | $1189836.56   | 0.32%             | 2041-09-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AHVU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380177 | PA      | $383316.59    | 0.10%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AJ4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6697690 | PA      | $637602.04    | 0.17%             | 2041-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AN5V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12772924 | PA      | $12584923.41  | 3.37%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137ANZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318596 | PA      | $18577.63     | 0.00%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137B5KE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8884000 | PA      | $8489238.57   | 2.28%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137B75D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $956432.80    | 0.26%             | 2044-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BERC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390483 | PA      | $360854.76    | 0.10%             | 2054-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BRYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6013891 | PA      | $5987176.50   | 1.61%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137F4VK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4173182 | PA      | $4149212.41   | 1.11%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3806568 | PA      | $150558.15    | 0.04%             | 2030-10-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1635939 | PA      | $57267.86     | 0.02%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FAP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10395504 | PA      | $1994570.79   | 0.53%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FCZ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3351000 | PA      | $2940985.38   | 0.79%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FFQC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6943130 | PA      | $490189.12    | 0.13%             | 2032-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069000 | PA      | $1035471.35   | 0.28%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1366521 | PA      | $36530.52     | 0.01%             | 2029-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FPH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503843 | PA      | $337317.25    | 0.09%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1296608 | PA      | $48385.77     | 0.01%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1778864 | PA      | $92242.48     | 0.02%             | 2030-01-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1196755 | PA      | $65621.42     | 0.02%             | 2030-01-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    916869 | PA      | $50606.95     | 0.01%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366146 | PA      | $21056.05     | 0.01%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1567252 | PA      | $78681.38     | 0.02%             | 2030-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FW3Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15171783 | PA      | $3133291.77   | 0.84%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1918411 | PA      | $94794.25     | 0.03%             | 2030-06-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15463524 | PA      | $2062115.09   | 0.55%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16093393 | PA      | $3272326.01   | 0.88%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H2JG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14724278 | PA      | $2505796.78   | 0.67%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $347757.76    | 0.09%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H8B83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25288693 | PA      | $2864217.62   | 0.77%             | 2052-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H8LQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6295076 | PA      | $6038963.98   | 1.62%             | 2052-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1851696 | PA      | $1857419.71   | 0.50%             | 2054-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    639357 | PA      | $641800.07    | 0.17%             | 2054-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494829 | PA      | $497830.95    | 0.13%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782060 | PA      | $788117.39    | 0.21%             | 2054-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HJX51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5707128 | PA      | $5751019.62   | 1.54%             | 2055-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A54P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608647 | PA      | $1574429.52   | 0.42%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A82M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6894 | PA      | $7079.08      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A9PP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86588 | PA      | $88881.49     | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AAS28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       432 | PA      | $433.23       | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AD3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44469 | PA      | $45602.97     | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AD3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104228 | PA      | $106688.91    | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164404 | PA      | $165454.40    | 0.04%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680017 | PA      | $692269.89    | 0.19%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADKK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25491 | PA      | $26190.30     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AEJQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1487 | PA      | $1528.93      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1147202 | PA      | $1154298.00   | 0.31%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AFW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101551 | PA      | $104431.58    | 0.03%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ALGM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2155 | PA      | $2177.16      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AMQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102102 | PA      | $104901.71    | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AP5N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211278 | PA      | $217271.02    | 0.06%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340207 | PA      | $358563.11    | 0.10%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138EJLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773581 | PA      | $778604.06    | 0.21%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ETS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365497 | PA      | $353379.77    | 0.09%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138WHDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1666615 | PA      | $1615105.87   | 0.43%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240483 | PA      | $1146616.63   | 0.31%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138XYQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416515 | PA      | $396602.83    | 0.11%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31392B5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8300 | PA      | $7997.33      | 0.00%             | 2032-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31393YBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210933 | PA      | $1309644.04   | 0.35%             | 2034-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31394ED96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16606 | PA      | $17619.55     | 0.00%             | 2035-08-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 31394PCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    913408 | PA      | $918066.31    | 0.25%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31395DPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1535624 | PA      | $159981.62    | 0.04%             | 2036-05-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 31395MHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713868 | PA      | $736265.72    | 0.20%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2868280 | PA      | $2802291.25   | 0.75%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398PPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871399 | PA      | $884149.18    | 0.24%             | 2030-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398SPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4340166 | PA      | $4357323.60   | 1.17%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398STJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2174855 | PA      | $2143556.97   | 0.57%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167889 | PA      | $172055.26    | 0.05%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110183 | PA      | $111710.74    | 0.03%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402DC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285499 | PA      | $289969.00    | 0.08%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516396 | PA      | $529709.98    | 0.14%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226229 | PA      | $229760.81    | 0.06%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125177 | PA      | $127096.04    | 0.03%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30948 | PA      | $31844.09     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650690 | PA      | $668149.32    | 0.18%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104142 | PA      | $107112.97    | 0.03%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31405SL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238903 | PA      | $245214.32    | 0.07%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31406UT99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7417 | PA      | $7606.39      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31408AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6619 | PA      | $6910.45      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17552154 | PA      | $16687204.99  | 4.47%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7747689 | PA      | $7365873.58   | 1.98%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140GSRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792341 | PA      | $805216.87    | 0.22%             | 2047-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801771 | PA      | $774977.88    | 0.21%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H1XR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227845 | PA      | $231429.34    | 0.06%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H37J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3890793 | PA      | $3760365.60   | 1.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H8QD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431677 | PA      | $417094.52    | 0.11%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMP32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14560 | PA      | $14574.60     | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5445 | PA      | $5419.16      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMPV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8522 | PA      | $8531.49      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J8SJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402507 | PA      | $389161.04    | 0.10%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J9H95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730078 | PA      | $734590.19    | 0.20%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J9V73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227091 | PA      | $227701.61    | 0.06%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596805 | PA      | $529001.31    | 0.14%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3129044 | PA      | $2998955.71   | 0.80%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19641 | PA      | $19662.22     | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16043 | PA      | $16059.11     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11925 | PA      | $11937.45     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22259 | PA      | $22282.64     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9WT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1079717 | PA      | $1042905.18   | 0.28%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108376 | PA      | $105898.44    | 0.03%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QGSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115746 | PA      | $109154.14    | 0.03%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708131 | PA      | $626784.12    | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96763 | PA      | $98852.94     | 0.03%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42210 | PA      | $43090.90     | 0.01%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79479 | PA      | $81097.66     | 0.02%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52659 | PA      | $53699.02     | 0.01%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52297 | PA      | $53265.55     | 0.01%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118172 | PA      | $120795.70    | 0.03%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14406446 | PA      | $14641323.99  | 3.93%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W0R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11670867 | PA      | $12069187.38  | 3.24%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W0YG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15056151 | PA      | $15339389.98  | 4.11%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W1BX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10032172 | PA      | $9297487.40   | 2.49%             | 2055-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140W1SG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12189463 | PA      | $12575619.73  | 3.37%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2336464 | PA      | $2282417.12   | 0.61%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XAUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96235 | PA      | $93555.58     | 0.03%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XKP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4707477 | PA      | $4739772.91   | 1.27%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XQWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67347 | PA      | $69084.99     | 0.02%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410F2Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126967 | PA      | $128947.33    | 0.03%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410KXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461671 | PA      | $491051.19    | 0.13%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410KXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513433 | PA      | $536832.72    | 0.14%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410RFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $600.50       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412MKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39037 | PA      | $41289.33     | 0.01%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412RH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27246 | PA      | $28018.20     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412RL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150910 | PA      | $147731.12    | 0.04%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412UQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57364 | PA      | $57859.30     | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31413CRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $302.82       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389740 | PA      | $401308.70    | 0.11%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416KQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159613 | PA      | $160944.21    | 0.04%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129480 | PA      | $130599.26    | 0.04%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416XJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940451 | PA      | $921466.60    | 0.25%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417Y2B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117881 | PA      | $121224.06    | 0.03%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417Y6Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5726 | PA      | $5888.66      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4646 | PA      | $4777.24      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418AAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42971 | PA      | $44190.12     | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400393 | PA      | $379891.88    | 0.10%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346361 | PA      | $320995.63    | 0.09%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602300 | PA      | $612912.59    | 0.16%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418ESQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306596 | PA      | $284143.25    | 0.08%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413240 | PA      | $429737.94    | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230346 | PA      | $239588.02    | 0.06%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52537 | PA      | $49980.31     | 0.01%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418MPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1665246 | PA      | $1735052.00   | 0.47%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418NX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3190070 | PA      | $3280474.47   | 0.88%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418RMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34298 | PA      | $34009.10     | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418SZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220539 | PA      | $220323.69    | 0.06%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418TDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9765 | PA      | $10041.84     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418TWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10010 | PA      | $10109.10     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418V4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36251 | PA      | $37279.50     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418VW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69118 | PA      | $71014.95     | 0.02%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419AMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32656 | PA      | $33581.48     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003135 | PA      | $982108.86    | 0.26%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419E6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $2814.22      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 31427N2Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5821617 | PA      | $5821805.58   | 1.56%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust               | Ellington Financial Mortgage Trust 2022-1                                      | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186162 | PA      | $163610.85    | 0.04%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-4                                                 | CUSIP: 33852FAA4<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    150857 | PA      | $126350.56    | 0.03%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                  | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    363040 | PA      | $356905.63    | 0.10%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                  | CUSIP: 35563PJF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691984 | PA      | $677200.19    | 0.18%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                  | CUSIP: 35563PKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283390 | PA      | $276169.03    | 0.07%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618J8HP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1564542 | PA      | $1635590.00   | 0.44%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811000 | PA      | $823545.41    | 0.22%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146668 | PA      | $151004.67    | 0.04%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143138 | PA      | $147335.26    | 0.04%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543634 | PA      | $560041.13    | 0.15%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195369 | PA      | $201863.90    | 0.05%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153678 | PA      | $156811.95    | 0.04%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197295 | PA      | $203974.35    | 0.05%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282992 | PA      | $295666.68    | 0.08%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599925 | PA      | $619867.88    | 0.17%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1711156 | PA      | $1754413.05   | 0.47%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618LRJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    782935 | PA      | $818000.74    | 0.22%             | 2055-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611719 | PA      | $634489.79    | 0.17%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847626 | PA      | $875803.15    | 0.23%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1167270 | PA      | $1202497.30   | 0.32%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712827 | PA      | $744750.95    | 0.20%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248741 | PA      | $258381.03    | 0.07%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329855 | PA      | $339809.67    | 0.09%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374176 | PA      | $390591.66    | 0.10%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898418 | PA      | $933236.18    | 0.25%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820699 | PA      | $847981.11    | 0.23%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2393272 | PA      | $2465499.57   | 0.66%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122141 | PA      | $1172396.30   | 0.31%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    605553 | PA      | $630323.95    | 0.17%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271531 | PA      | $277234.28    | 0.07%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450470 | PA      | $459654.77    | 0.12%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472241 | PA      | $490542.88    | 0.13%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745046 | PA      | $769331.35    | 0.21%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36205KZ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       537 | PA      | $541.36       | 0.00%             | 2027-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36207DLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       120 | PA      | $119.50       | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36207RFG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       507 | PA      | $510.41       | 0.00%             | 2026-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36208DU29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       161 | PA      | $162.11       | 0.00%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2021-PJ6                                   | CUSIP: 36262LAB6<br>LEI: 25490038RWR4AJZ5B524 | Long             | ABS-MBS          | CORP              | US        |     72462 | PA      | $60556.80     | 0.02%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2023-FUN                                     | CUSIP: 36267CAA3<br>LEI: 5493001UQE7OCP3UT106 | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $281038.77    | 0.08%             | 2028-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                              | CUSIP: 36267EAD3<br>LEI: 254900X1ABPQ6D4G6D07 | Long             | ABS-MBS          | CORP              | US        |     75159 | PA      | $62806.82     | 0.02%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                              | GSAT Trust 2025-BMF                                                            | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $645806.06    | 0.17%             | 2040-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36292GKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1243 | PA      | $1275.16      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38375GYA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1685244 | PA      | $58394.54     | 0.02%             | 2042-08-16      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38376PA59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353025 | PA      | $35550.50     | 0.01%             | 2039-12-16      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38377VGR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1568724 | PA      | $123772.18    | 0.03%             | 2041-04-20      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38377WSG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6018727 | PA      | $5927366.22   | 1.59%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378DHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4061120 | PA      | $3988866.18   | 1.07%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378KPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2224875 | PA      | $50783.66     | 0.01%             | 2051-09-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378XYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11402936 | PA      | $245737.84    | 0.07%             | 2056-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38379MCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9515128 | PA      | $9079782.44   | 2.43%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38380XYC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6911774 | PA      | $6080088.88   | 1.63%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24843596 | PA      | $3573887.92   | 0.96%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38382KVC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4958345 | PA      | $941175.16    | 0.25%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38382TKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6636314 | PA      | $1116747.01   | 0.30%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383DVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12237468 | PA      | $2032949.34   | 0.55%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383GBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10515199 | PA      | $1594751.83   | 0.43%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383PBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19216386 | PA      | $2754978.36   | 0.74%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383REX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4733656 | PA      | $3896914.19   | 1.04%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited  | Homes 2024-Nqm2 Trust                                                          | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |     75568 | PA      | $76212.46     | 0.02%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                                          | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $476923.26    | 0.13%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust 2025-PLAZA         | INT Commercial Mortgage Trust 2025-PLAZA                                       | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100284.92    | 0.03%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-through Certificates    | ILPT Commercial Mortgage Trust 2025-LPF2                                       | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553000 | PA      | $563671.46    | 0.15%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust           | Residential Asset Securitization Trust 2005-A15                                | CUSIP: 45660L3P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74638 | PA      | $53636.93     | 0.01%             | 2036-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                 | IndyMac INDX Mortgage Loan Trust 2006-AR33                                     | CUSIP: 45668JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16164522 | PA      | $1.62         | 0.00%             | 2037-01-25      | Fixed         | 0.17%                 | No            |                  3 | On Loan: No      |
| INTOWN Mortgage Trust                            | INTOWN 2025-STAY Mortgage Trust                                                | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $510637.09    | 0.14%             | 2042-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-INV3                                           | CUSIP: 46593FAD4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     74498 | PA      | $65055.57     | 0.02%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5               | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90034 | PA      | $90145.81     | 0.02%             | 2040-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-DSC1                                           | CUSIP: 46656AAA5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     85904 | PA      | $84851.22     | 0.02%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                                      | KSL Commercial Mortgage Trust 2024-HT2                                         | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155345 | PA      | $155296.66    | 0.04%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                        | LQR Trust 2025-CALI                                                            | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    669000 | PA      | $668998.26    | 0.18%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2020-NQM1 Trust                                                            | CUSIP: 552754AA1<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |     26179 | PA      | $25515.75     | 0.01%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                       | MIRA Trust 2023-MILE                                                           | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569000 | PA      | $590945.14    | 0.16%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                             | MAD Commercial Mortgage Trust 2025-11MD                                        | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $220833.98    | 0.06%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2022-INV2                                    | CUSIP: 58549JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79442 | PA      | $69322.20     | 0.02%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL          | MTN Commercial Mortgage Trust 2022-LPFL                                        | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $234853.74    | 0.06%             | 2039-03-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                       | NCMF Trust 2025-MFS                                                            | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493000 | PA      | $494775.15    | 0.13%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                 | NJ 2025-WBRK                                                                   | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $332347.71    | 0.09%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                         | NRTH Commercial Mortgage Trust 2025-PARK                                       | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $580543.63    | 0.16%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-INV3 Trust                                                            | CUSIP: 67116EAA7<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |     75838 | PA      | $66173.68     | 0.02%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2025-3BP                                         | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $505865.89    | 0.14%             | 2042-02-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2025-28L                                         | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156000 | PA      | $156330.03    | 0.04%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Trust 2025-77C                                                             | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1455000 | PA      | $1461142.43   | 0.39%             | 2038-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                               | 1301 Trust 2025-AOA                                                            | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $212589.03    | 0.06%             | 2042-08-11      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                       | 1345T 2025-AOA                                                                 | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $451400.00    | 0.12%             | 2042-06-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                   | PENN Commercial Mortgage Trust 2025-P11                                        | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89000 | PA      | $91166.97     | 0.02%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                   | PMT Loan Trust 2024-INV1                                                       | CUSIP: 73015BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129066 | PA      | $130129.68    | 0.03%             | 2059-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                        | PRM Trust 2025-PRM6                                                            | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394000 | PA      | $393548.12    | 0.11%             | 2033-07-05      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                 | Provident Funding Mortgage Trust 2024-1                                        | CUSIP: 74389BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122315 | PA      | $123552.55    | 0.03%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2022-2                                                     | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75723 | PA      | $66266.61     | 0.02%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                              | Resolution Funding Corp Principal Strip                                        | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  13000000 | PA      | $11005053.67  | 2.95%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                       | SDAL Trust 2025-DAL                                                            | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $478956.53    | 0.13%             | 2042-04-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                    | SDR Commercial Mortgage Trust 2024-DSNY                                        | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $110861.84    | 0.03%             | 2039-05-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2024-INV1                                               | CUSIP: 816939AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139248 | PA      | $140134.65    | 0.04%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                       | SHRN Trust 2025-MF18                                                           | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500309.30    | 0.13%             | 2040-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust              | STAR 2021-1 Trust                                                              | CUSIP: 85573GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $180406.08    | 0.05%             | 2065-05-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| STERLING COOFS TR                                | STERLING COOFS TR                                                              | CUSIP: 859245AA0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    435686 | PA      | $0.04         | 0.00%             | 2029-04-15      | Variable      | 2.36%                 | No            |                  3 | On Loan: No      |
| Sterling Bank Trust                              | Sterling COOFS Trust 2004-2                                                    | CUSIP: 859245AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131788 | PA      | $0.01         | 0.00%             | 2030-03-30      | Fixed         | 2.08%                 | No            |                  3 | On Loan: No      |
| Toorak Mortgage Corp.                            | TRK 2021-INV2 Trust                                                            | CUSIP: 87267TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94514 | PA      | $86087.75     | 0.02%             | 2056-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                            | Vendee Mortgage Trust 1999-2                                                   | CUSIP: 911760MW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2626192 | PA      | $2.63         | 0.00%             | 2029-05-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $733318.36    | 0.20%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -917000 | PA      | $-704657.19   | -0.19%            | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840000 | PA      | $617826.56    | 0.17%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1525000 | PA      | $1065593.75   | 0.29%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $290541.80    | 0.08%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $715886.72    | 0.19%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $708914.07    | 0.19%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $119625.00    | 0.03%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $153035.16    | 0.04%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $457453.13    | 0.12%             | 2029-03-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2787222.66   | 0.75%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $552234.38    | 0.15%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $510566.41    | 0.14%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $853631.13    | 0.23%             | 2026-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $150918.94    | 0.04%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1450000 | PA      | $1460115.39   | 0.39%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                       | UNIV Trust 2025-APTS                                                           | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $380468.69    | 0.10%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-3                                              | CUSIP: 92538UAA9<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    265562 | PA      | $255667.63    | 0.07%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-1                                              | CUSIP: 92538WAA5<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |     67287 | PA      | $63256.55     | 0.02%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2024-6                                              | CUSIP: 92540JAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    102308 | PA      | $103165.33    | 0.03%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                  | WHARF Commercial Mortgage Trust 2025-DC                                        | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $237372.60    | 0.06%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                        | BlackRock Liquidity Funds: T-Fund, Institutional Shares                        | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |    948102 | NS      | $948101.57    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust | CUSIP: 93934FFP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43618 | PA      | $25079.70     | 0.01%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2018-AUS                                 | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    583000 | PA      | $573876.69    | 0.15%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2018-C44                                 | CUSIP: 95001JAY3<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |   4386860 | PA      | $58480.35     | 0.02%             | 2051-05-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 40YR R                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        | -16078038 | PA      | $-16078037.61 | -4.31%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -8911553 | PA      | $-8911552.81  | -2.39%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        | -10811885 | PA      | $-10811884.72 | -2.90%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        | -12163233 | PA      | $-12163233.16 | -3.26%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK SECURITIES INC                     | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        | -14148232 | PA      | $-14148231.79 | -3.79%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK SECURITIES INC                     | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Short            | RA               | CORP              | US        | -14811096 | PA      | $-14811096.36 | -3.97%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | RRP TREASURY NO                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |   -859562 | PA      | $-859562.50   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | RRP TREASURY NO                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -1459062 | PA      | $-1459062.50  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | RRP TREASURY NO                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -2811375 | PA      | $-2811375.00  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | RRP TREASURY BO                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |   -625800 | PA      | $-625800.00   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | RRP TREASURY BO                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |   -749312 | PA      | $-749312.50   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SA                                   | RRP TREASURY BO                                                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -1082750 | PA      | $-1082750.00  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| BYDWS82F8 BB TREASURY BON                        | BB TREASURY BON                                                                | CUSIP: 000000000<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | CORP              | US        |    712968 | PA      | $712967.50    | 0.19%             | 2026-01-02      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) MAR26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -98 | NC      | $81496.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       174 | NC      | $-82350.78    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        48 | NC      | $-75.32       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -44 | NC      | $-7546.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -116 | NC      | $18837.47     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-28

**Name of Applicant:** BlackRock Income Trust, Inc.

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer