# EDGAR Filing Document

**Accession Number:** 0001804196
**File Stem:** 0002071691-26-012499
**Filing Date:** 2026-5
**Character Count:** 265731
**Document Hash:** ba0cf2a8aad043569681cc05761f490b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-012499.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0002071691-26-012499

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock ETF Trust II
- **CENTRAL INDEX KEY:** 0001804196

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23511
- **FILM NUMBER:** 261029746

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800 882 0052

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

## Series and Classes Contracts Data

### iShares Mortgage-Backed Securities Active ETF (Series ID: S000093898)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000262359 | iShares Mortgage-Backed Securities Active ETF |  |

## 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 ETF Trust II

- **b. Investment Company Act file number:** 811-23511

- **c. CIK number of Registrant:** 0001804196

- **d. LEI of Registrant:** 549300PLJCTZLQ2LE832

- **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:** iShares Mortgage-Backed Securities Active ETF

- **b. EDGAR series identifier (if any):** S000093898

- **c. LEI of Series:** 529900DXXC9UYOA6TR36

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**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:** $320276228.90

**Total Liabilities:** $194492470.75

**Net Assets:** $125783758.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2224.80000000 | **1-Year:** 369.64000000 | **5-Year:** 53291.27000000 | **10-Year:** 23351.54000000 | **30-Year:** 5665.35000000

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

- **3-Month:** 794.30000000 | **1-Year:** -120.49000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000262359 | 0.47%                | 1.70%                | -1.72%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1796995.88             | $1989833.80                                |
| Month 2  | $102699.23               | $1675723.68                                |
| Month 3  | $-224184.57              | $-2538956.69                               |

**Designated Index Information**

- **Index Name:** BBG MBS Index

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                     | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191000 | PA      | $195256.40    | 0.16%             | 2040-07-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335YWQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75819 | PA      | $77966.03     | 0.06%             | 2037-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -14397000 | PA      | $-14180956.17 | -11.27%           | 2056-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -823000 | PA      | $-10324.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617U4PR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38548 | PA      | $34832.16     | 0.03%             | 2041-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140W3DX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31245 | PA      | $30961.52     | 0.02%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -5 | NC      | $-722.68      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8780 | PA      | $8955.30      | 0.01%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75537 | PA      | $75154.62     | 0.06%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -68000 | PA      | $-69142.82    | -0.05%            | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5112349 | PA      | $231984.10    | 0.18%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -824000 | PA      | $-22466.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215339 | PA      | $223141.44    | 0.18%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -2946550 | PA      | $-113714.44   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WXEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89468 | PA      | $84430.60     | 0.07%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128PWJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        88 | PA      | $87.38        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230UN47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64873 | PA      | $64582.94     | 0.05%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENT                                                                      | CENT, Series 2025-CITY, Class A                                                                                              | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $251792.85    | 0.20%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92662 | PA      | $91822.85     | 0.07%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DBC Mortgage Trust                                                        | DBC Mortgage Trust, Series 2025-DBC, Class A                                                                                 | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $354778.52    | 0.28%             | 2042-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                         | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261000 | PA      | $260102.16    | 0.21%             | 2041-06-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2025-BHR5, Class A                                            | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85931 | PA      | $85904.08     | 0.07%             | 2040-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8219 | PA      | $8294.39      | 0.01%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201SRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27667 | PA      | $28133.02     | 0.02%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200XXV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       137 | PA      | $139.77       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294NZJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9925 | PA      | $10075.72     | 0.01%             | 2036-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAY Mortgage Trust                                                        | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                                | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431000 | PA      | $428711.13    | 0.34%             | 2035-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Willobrook Mall                                                           | Willobrook Mall, Series 2025-WBRK, Class A                                                                                   | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $261984.50    | 0.21%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1522136 | PA      | $1364414.56   | 1.08%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83273 | PA      | $83905.04     | 0.07%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290RNW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69519 | PA      | $70055.40     | 0.06%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36210 | PA      | $35754.25     | 0.03%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TLZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49891 | PA      | $50019.49     | 0.04%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295FSE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32456 | PA      | $32873.11     | 0.03%             | 2037-05-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    766932 | PA      | $794255.87    | 0.63%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31294MH38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       163 | PA      | $162.84       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249550 | PA      | $253299.55    | 0.20%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36206JML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        17 | PA      | $16.57        | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GSAT Trust                                                                | GSAT Trust, Series 2025-BMF, Class A                                                                                         | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $434574.96    | 0.35%             | 2040-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class A                                                                     | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72000 | PA      | $73157.35     | 0.06%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10640 | PA      | $10768.33     | 0.01%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17947 | PA      | $17902.09     | 0.01%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140NBP96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82277 | PA      | $81535.36     | 0.06%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36205F6F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23265 | PA      | $23462.69     | 0.02%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72578 | PA      | $73563.38     | 0.06%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200M2T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28866 | PA      | $29159.64     | 0.02%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -365000 | PA      | $-293910.55   | -0.23%            | 2056-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -80000 | PA      | $-73331.52    | -0.06%            | 2056-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176BVX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65842 | PA      | $64979.22     | 0.05%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040644<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2022000 | PA      | $-1907804.80  | -1.52%            | 2056-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291XUJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3382 | PA      | $3422.33      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115105 | PA      | $108326.50    | 0.09%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -5659000 | PA      | $-30460.15    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36209MWZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63994 | PA      | $64328.05     | 0.05%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202SCB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37795 | PA      | $37696.56     | 0.03%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38325 | PA      | $34949.93     | 0.03%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192948 | PA      | $190960.73    | 0.15%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5021000 | PA      | $4318844.53   | 3.43%             | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VOLT, Class A                                                                                          | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $229281.25    | 0.18%             | 2044-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5052, Class KI                                                                      | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9407201 | PA      | $1903461.42   | 1.51%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                                                                      | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325817 | PA      | $325816.71    | 0.26%             | 2042-08-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    859890 | PA      | $31523.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18254000 | PA      | $15338351.37  | 12.19%            | 2056-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176SYR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43212 | PA      | $42646.12     | 0.03%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    586739 | PA      | $605722.72    | 0.48%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427PZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172444 | PA      | $170828.13    | 0.14%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295DBS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153951 | PA      | $159139.88    | 0.13%             | 2037-04-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200MVP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22934 | PA      | $23115.42     | 0.02%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204441 | PA      | $206017.32    | 0.16%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2015-66, Class AS                                          | CUSIP: 3136AP6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1719028 | PA      | $97422.48     | 0.08%             | 2045-09-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-104, Class IH                                                          | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047713 | PA      | $175321.19    | 0.14%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM6, Class A1                                                                                       | CUSIP: 36831QAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117359 | PA      | $116592.89    | 0.09%             | 2070-10-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6560 | PA      | $6613.35      | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744663 | PA      | $771645.06    | 0.61%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F062648<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -146000 | PA      | $-151037.55   | -0.12%            | 2056-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-DSC2, Class A1                                                              | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |    135109 | PA      | $134714.86    | 0.11%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DSRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27036 | PA      | $26769.79     | 0.02%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61850 | PA      | $61636.10     | 0.05%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2457000 | PA      | $-2371018.93  | -1.88%            | 2056-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-149, Class KI                                                          | CUSIP: 38382XCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850696 | PA      | $308695.71    | 0.25%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030447<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    554000 | PA      | $529051.36    | 0.42%             | 2041-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31286DFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40451 | PA      | $41726.06     | 0.03%             | 2037-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-JDI, Class A                                                                       | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271207 | PA      | $271291.27    | 0.22%             | 2042-11-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-OMG, Class A                                                                                           | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161000 | PA      | $160597.50    | 0.13%             | 2042-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285703 | PA      | $293454.34    | 0.23%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2022000 | PA      | $1907804.80   | 1.52%             | 2056-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201TNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44409 | PA      | $45052.12     | 0.04%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436808 | PA      | $443372.77    | 0.35%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31406NJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       549 | PA      | $563.90       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31391WE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10574 | PA      | $10627.10     | 0.01%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032443<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    241000 | PA      | $231974.97    | 0.18%             | 2041-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291TS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31980 | PA      | $31895.06     | 0.03%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BWAY Trust                                                                | BWAY Trust, Series 2025-1535, Class A                                                                                        | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204000 | PA      | $206426.01    | 0.16%             | 2042-05-05      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200HQJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41118 | PA      | $42220.33     | 0.03%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335YZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72658 | PA      | $74347.89     | 0.06%             | 2037-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202EVL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3856 | PA      | $3832.34      | 0.00%             | 2038-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295DCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210789 | PA      | $221666.36    | 0.18%             | 2037-04-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180316 | PA      | $164934.51    | 0.13%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -431000 | PA      | $-7709.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291ELK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22106 | PA      | $22048.12     | 0.02%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                                                         | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $435965.13    | 0.35%             | 2042-04-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31321WCV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74346 | PA      | $76075.54     | 0.06%             | 2037-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WXGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74410 | PA      | $69958.48     | 0.06%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30181 | PA      | $28537.82     | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-11, Class A1                                                                           | CUSIP: 03466FAC1<br>LEI: 254900U7QMG1IM2AZ079 | Long             | ABS-MBS          | CORP              | US        |    167509 | PA      | $166782.25    | 0.13%             | 2070-10-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2023-130, Class OD                                                          | CUSIP: 38384ERP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561831 | PA      | $1378718.35   | 1.10%             | 2053-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -734000 | PA      | $-23980.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    859891 | PA      | $33670.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200D3E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4561 | PA      | $4578.38      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228035 | PA      | $208584.21    | 0.17%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640810 | PA      | $658960.60    | 0.52%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052649<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -203000 | PA      | $-203935.00   | -0.16%            | 2056-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 1996-48, Class Z                                                               | CUSIP: 31359KXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $0.69         | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36292CAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26192 | PA      | $26501.17     | 0.02%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class A1                                                              | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |     92860 | PA      | $92360.85     | 0.07%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680246 | PA      | $704481.00    | 0.56%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QSAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86262 | PA      | $85505.80     | 0.07%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213WJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12764 | PA      | $12730.17     | 0.01%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-2, Class FG                                           | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138459 | PA      | $139674.84    | 0.11%             | 2055-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176BU47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35999 | PA      | $35243.42     | 0.03%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -431000 | PA      | $-15696.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -44000 | PA      | $-44280.22    | -0.04%            | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182AHB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45286 | PA      | $44286.23     | 0.04%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202XW37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48003 | PA      | $48611.29     | 0.04%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176K5R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39986 | PA      | $39126.35     | 0.03%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200AJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2599 | PA      | $2614.49      | 0.00%             | 2032-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471055 | PA      | $447118.40    | 0.36%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-151, Class MI                                                          | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2084052 | PA      | $303167.03    | 0.24%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290RZB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       421 | PA      | $423.22       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31405MZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30773 | PA      | $30948.62     | 0.02%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31410MJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26229 | PA      | $26050.24     | 0.02%             | 2036-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class A                                                                    | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $174781.71    | 0.14%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                        | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266000 | PA      | $267109.62    | 0.21%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13668 | PA      | $13832.32     | 0.01%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class A                                                                     | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $292672.01    | 0.23%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295C6A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47699 | PA      | $48010.67     | 0.04%             | 2036-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295FVA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48675 | PA      | $48861.35     | 0.04%             | 2037-06-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31413DTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110608 | PA      | $112539.61    | 0.09%             | 2037-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202WX95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26827 | PA      | $27345.52     | 0.02%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                             | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                                                                     | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182000 | PA      | $181886.25    | 0.14%             | 2039-03-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200MCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5018 | PA      | $5090.80      | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36211NHP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        62 | PA      | $63.28        | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295MUV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87446 | PA      | $89609.31     | 0.07%             | 2037-08-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201NT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6491 | PA      | $6473.63      | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140NGL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062042 | PA      | $1051111.65   | 0.84%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200B6N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1772 | PA      | $1778.62      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LYR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663144 | PA      | $683751.53    | 0.54%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2468000 | PA      | $2262277.47   | 1.80%             | 2056-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291HUV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133425 | PA      | $135062.40    | 0.11%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675695 | PA      | $685849.54    | 0.55%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31406QNS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47884 | PA      | $47509.51     | 0.04%             | 2035-05-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115566 | PA      | $114411.49    | 0.09%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617UQA98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48745 | PA      | $44005.81     | 0.03%             | 2041-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202X6R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17829 | PA      | $17783.69     | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2122000 | PA      | $-2000582.24  | -1.59%            | 2056-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179T4R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31603 | PA      | $31807.14     | 0.03%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TKU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149532 | PA      | $149970.59    | 0.12%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321548 | PA      | $318237.18    | 0.25%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432736 | PA      | $1420195.85   | 1.13%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290RVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3113 | PA      | $3137.51      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36207FCV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         5 | PA      | $4.62         | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290NA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14227 | PA      | $14187.50     | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DT4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1136244 | PA      | $1173926.72   | 0.93%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312979FU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81950 | PA      | $84412.27     | 0.07%             | 2037-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    859891 | PA      | $29404.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5119, Class IC                                                                      | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1365104 | PA      | $275190.20    | 0.22%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2022-25, Class KL                                                              | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $183780.58    | 0.15%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2T93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2761389 | PA      | $2597031.36   | 2.06%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51639 | PA      | $49635.65     | 0.04%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-LUNR, Class A                                                                                          | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381347 | PA      | $381703.80    | 0.30%             | 2040-06-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2025-EWEST, Class A                                                                                       | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $281100.36    | 0.22%             | 2042-06-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36292FGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11621 | PA      | $11590.00     | 0.01%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -56 | NC      | $2229.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-149, Class IA                                                          | CUSIP: 38382KBL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15079693 | PA      | $2280349.68   | 1.81%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202XWE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61450 | PA      | $62068.52     | 0.05%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200ACM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        52 | PA      | $52.49        | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEX Trust                                                                 | LEX Trust, Series 2026-450, Class A                                                                                          | CUSIP: 501970AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143000 | PA      | $142374.38    | 0.11%             | 2043-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154053 | PA      | $159868.55    | 0.13%             | 2036-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31386QAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48893 | PA      | $48530.47     | 0.04%             | 2035-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV5, Class A1                                                               | CUSIP: 28224UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340819 | PA      | $339513.33    | 0.27%             | 2070-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3501000 | PA      | $3378484.85   | 2.69%             | 2056-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-TAIL, Class A                                                                                          | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $314999.87    | 0.25%             | 2035-06-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167547 | PA      | $173215.94    | 0.14%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200AKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38950 | PA      | $39082.59     | 0.03%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140W0P82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1265894 | PA      | $1274374.48   | 1.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11158000 | PA      | $-11003201.05 | -8.75%            | 2056-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3142JS2Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33797 | PA      | $33414.10     | 0.03%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2341000 | PA      | $-2055818.09  | -1.63%            | 2056-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295CZD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100861 | PA      | $104116.09    | 0.08%             | 2037-02-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140W4B22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2460817 | PA      | $2298883.96   | 1.83%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618FGDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1019592 | PA      | $1071882.30   | 0.85%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200MB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2905 | PA      | $2897.95      | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335YQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26915 | PA      | $27290.61     | 0.02%             | 2037-09-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140W2XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834042 | PA      | $823917.07    | 0.66%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402DC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11382 | PA      | $11456.89     | 0.01%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Durst Commercial Mortgage Trust                                           | Durst Commercial Mortgage Trust, Series 2025-151, Class A                                                                    | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $164504.33    | 0.13%             | 2042-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-33, Class DV                                                              | CUSIP: 3136BVVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327838 | PA      | $338005.34    | 0.27%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201NAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12233 | PA      | $12236.70     | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K122, Class X1 | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2693991 | PA      | $89635.29     | 0.07%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202VE80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22014 | PA      | $21942.05     | 0.02%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36212N5R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9202 | PA      | $9498.40      | 0.01%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295UK91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58689 | PA      | $60232.11     | 0.05%             | 2037-10-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291BRZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7601 | PA      | $7581.22      | 0.01%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637945 | PA      | $647532.00    | 0.51%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427QH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45892 | PA      | $46940.30     | 0.04%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200DBB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9740 | PA      | $9772.01      | 0.01%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290R5V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17263 | PA      | $17442.93     | 0.01%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202DSC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15937 | PA      | $16552.38     | 0.01%             | 2032-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295MWP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76948 | PA      | $78851.52     | 0.06%             | 2037-09-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31413JVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72208 | PA      | $73446.51     | 0.06%             | 2037-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31286DFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16645 | PA      | $16942.73     | 0.01%             | 2037-09-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294XJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67610 | PA      | $68049.89     | 0.05%             | 2036-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XPDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68113 | PA      | $67486.32     | 0.05%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | BlackRock Liquidity Funds, T-Fund, Institutional Class                                                                       | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  22851012 | NS      | $22851011.36  | 18.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230QM88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47981 | PA      | $47297.63     | 0.04%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291EKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34857 | PA      | $34941.88     | 0.03%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042442<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -35000 | PA      | $-34747.90    | -0.03%            | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5471, Class FM                                                  | CUSIP: 3137HHJ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512824 | PA      | $516096.15    | 0.41%             | 2054-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410GWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136373 | PA      | $137203.14    | 0.11%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5468, Class FM                                                  | CUSIP: 3137HHB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602949 | PA      | $605730.00    | 0.48%             | 2054-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76430 | PA      | $75741.66     | 0.06%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176LME2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60242 | PA      | $59175.56     | 0.05%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617QPEP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357255 | PA      | $322494.85    | 0.26%             | 2040-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1119908 | PA      | $1109071.16   | 0.88%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292GRV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $3.41         | 0.00%             | 2027-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66949 | PA      | $67517.42     | 0.05%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218105 | PA      | $223938.15    | 0.18%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177WY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24873 | PA      | $22713.76     | 0.02%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36211RNN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1718 | PA      | $1738.43      | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31405WTK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48713 | PA      | $48527.51     | 0.04%             | 2034-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    877204 | PA      | $890385.92    | 0.71%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31386QAZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48764 | PA      | $48772.34     | 0.04%             | 2035-01-01      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XRDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48761 | PA      | $48249.76     | 0.04%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294XD52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41266 | PA      | $42560.77     | 0.03%             | 2036-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291YGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18437 | PA      | $18717.00     | 0.01%             | 2036-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427SGW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292697 | PA      | $290044.93    | 0.23%             | 2054-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471000 | PA      | $489477.74    | 0.39%             | 2056-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324177 | PA      | $339924.50    | 0.27%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200NSM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24164 | PA      | $24150.84     | 0.02%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        25 | NC      | $-12241.08    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H062644<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -27000 | PA      | $-28059.23    | -0.02%            | 2056-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295MSD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71741 | PA      | $73666.75     | 0.06%             | 2037-08-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295C4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4548 | PA      | $4570.82      | 0.00%             | 2037-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31406QPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49561 | PA      | $48837.20     | 0.04%             | 2036-05-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154713 | PA      | $1164771.31   | 0.93%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154696 | PA      | $1114479.73   | 0.89%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -26000 | PA      | $-22364.06    | -0.02%            | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1472000 | PA      | $1421806.51   | 1.13%             | 2056-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427QFB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64014 | PA      | $65525.98     | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294XQJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82964 | PA      | $86091.70     | 0.07%             | 2037-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295DAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255075 | PA      | $265435.38    | 0.21%             | 2037-04-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371G4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28405 | PA      | $28737.28     | 0.02%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36212J2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8666 | PA      | $8688.10      | 0.01%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XNSA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32388 | PA      | $32109.44     | 0.03%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728693 | PA      | $667496.46    | 0.53%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-61                                                 | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1034212 | PA      | $34760.90     | 0.03%             | 2059-05-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200KR41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8089 | PA      | $8082.81      | 0.01%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    859890 | PA      | $31344.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                            | BSTN Commercial Mortgage Trust, Series 2025-HUB, Class A                                                                     | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $114852.23    | 0.09%             | 2041-04-13      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361787 | PA      | $369695.92    | 0.29%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5468, Class MF                                                  | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466205 | PA      | $469099.95    | 0.37%             | 2054-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7A97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14910 | PA      | $15086.84     | 0.01%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36292LKT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3735 | PA      | $3792.15      | 0.00%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                            | BSTN Commercial Mortgage Trust, Series 2025-1C, Class A                                                                      | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $122037.64    | 0.10%             | 2044-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2011-8, Class ZA                                                               | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552415 | PA      | $536250.22    | 0.43%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                              | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $279523.30    | 0.22%             | 2037-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -31000 | PA      | $-25601.64    | -0.02%            | 2056-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31386QAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31819 | PA      | $31712.45     | 0.03%             | 2034-07-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64269 | PA      | $64560.28     | 0.05%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MMNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       158 | PA      | $157.65       | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPR Mortgage Trust                                                        | BPR Mortgage Trust, Series 2025-ALDR, Class A                                                                                | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163000 | PA      | $166926.02    | 0.13%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492000 | PA      | $500268.65    | 0.40%             | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21022 | PA      | $21457.08     | 0.02%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5544, Class HV                                                                      | CUSIP: 3137HLP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110021 | PA      | $111013.72    | 0.09%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BM2U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1229700 | PA      | $1152739.01   | 0.92%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27707 | PA      | $28095.64     | 0.02%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31413UUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145116 | PA      | $142957.98    | 0.11%             | 2037-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201GR98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       140 | PA      | $143.84       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032443<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -5000 | PA      | $-4812.76     | -0.00%            | 2041-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-193, Class IA                                                          | CUSIP: 38383DVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2538459 | PA      | $417109.47    | 0.33%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -823000 | PA      | $-21988.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust, Series 2025-MFS, Class A                                                                                         | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399000 | PA      | $397544.73    | 0.32%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290WS45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6223 | PA      | $6208.78      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181322 | PA      | $179679.43    | 0.14%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36211EAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17770 | PA      | $17658.61     | 0.01%             | 2035-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22295000 | PA      | $17952700.28  | 14.27%            | 2056-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290XH78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18341 | PA      | $18294.13     | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295DE54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78273 | PA      | $80910.61     | 0.06%             | 2037-05-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213ADF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7849 | PA      | $7827.13      | 0.01%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM7, Class A1                                                              | CUSIP: 64831YAE6<br>LEI: 2138008C4H1F2CU67V53 | Long             | ABS-MBS          | CORP              | US        |    191300 | PA      | $190235.94    | 0.15%             | 2065-10-26      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179ME97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312245 | PA      | $332584.79    | 0.26%             | 2039-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K119, Class X1 | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1750203 | PA      | $59735.84     | 0.05%             | 2030-09-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31406QN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64466 | PA      | $63753.26     | 0.05%             | 2036-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36181FCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120314 | PA      | $113051.31    | 0.09%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128PVBA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       473 | PA      | $471.94       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31406LCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       718 | PA      | $740.75       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -734000 | PA      | $-28263.74    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354982 | PA      | $325036.67    | 0.26%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2025-LXP, Class A                                                                                           | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $330000.00    | 0.26%             | 2037-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LUJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180601 | PA      | $164814.58    | 0.13%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                                                 | PRM Trust, Series 2025-PRM6, Class A                                                                                         | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327000 | PA      | $324442.40    | 0.26%             | 2033-07-05      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1379000 | PA      | $1302444.88   | 1.04%             | 2041-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARES Trust                                                                | ARES Trust, Series 2025-IND3, Class A                                                                                        | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221000 | PA      | $221000.00    | 0.18%             | 2042-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class A                                                                     | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $188382.59    | 0.15%             | 2042-11-05      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8893000 | PA      | $8933960.36   | 7.10%             | 2056-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290W4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23787 | PA      | $24067.39     | 0.02%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2651 | PA      | $2629.09      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2015-55, Class A                                        | CUSIP: 38379LZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2970051 | PA      | $3052286.18   | 2.43%             | 2036-03-16      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43090 | PA      | $42731.02     | 0.03%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202CVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       217 | PA      | $223.50       | 0.00%             | 2027-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26790 | PA      | $26725.55     | 0.02%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48654 | PA      | $48218.33     | 0.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427MAG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999035 | PA      | $995912.89    | 0.79%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DUFM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2548422 | PA      | $2649901.79   | 2.11%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TKK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66590 | PA      | $66754.18     | 0.05%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200DJN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2971 | PA      | $3009.85      | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    930281 | PA      | $976310.96    | 0.78%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-LIFE, Class A                                                                                          | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300861.99    | 0.24%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2481000 | PA      | $2496800.84   | 1.98%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1459000 | PA      | $1444851.11   | 1.15%             | 2056-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XLQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2426380 | PA      | $2401279.45   | 1.91%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -1252000 | PA      | $-36681.63    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2025-77C, Class A                                                                                          | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $342238.00    | 0.27%             | 2036-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-SPOT, Class A                                                                      | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319138 | PA      | $319187.65    | 0.25%             | 2040-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2025-FPM, Class A                                                                                         | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $110381.94    | 0.09%             | 2040-10-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202VDF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9674 | PA      | $9647.93      | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50302 | PA      | $51027.14     | 0.04%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653617 | PA      | $685958.42    | 0.55%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FFA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29006 | PA      | $31320.35     | 0.02%             | 2040-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23613 | PA      | $23687.33     | 0.02%             | 2027-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201LK86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12681 | PA      | $12873.50     | 0.01%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290RZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4353 | PA      | $4405.30      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386096 | PA      | $353647.10    | 0.28%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7656000 | PA      | $6322779.34   | 5.03%             | 2056-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96611 | PA      | $98389.76     | 0.08%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                                 | LQR Trust, Series 2025-CALI, Class A                                                                                         | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157000 | PA      | $155925.24    | 0.12%             | 2043-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294SAR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23980 | PA      | $23917.58     | 0.02%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31413HUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107894 | PA      | $109827.47    | 0.09%             | 2037-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200TUW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53454 | PA      | $53335.17     | 0.04%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-146                                                                    | CUSIP: 38382KVC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1057459 | PA      | $198569.21    | 0.16%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109323 | PA      | $1146109.50   | 0.91%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200J6E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23313 | PA      | $23702.67     | 0.02%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class A                                                                                              | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $398750.00    | 0.32%             | 2042-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696228 | PA      | $715946.49    | 0.57%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594895 | PA      | $603834.85    | 0.48%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59105 | PA      | $59926.43     | 0.05%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291RY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2398 | PA      | $2406.83      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030447<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -17000 | PA      | $-16234.43    | -0.01%            | 2041-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XP2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906618 | PA      | $872011.03    | 0.69%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201X6N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28821 | PA      | $28721.98     | 0.02%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3300000 | PA      | $3359786.30   | 2.67%             | 2056-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022444<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -22000 | PA      | $-20778.67    | -0.02%            | 2041-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                                             | MAD Commercial Mortgage Trust, Series 2025-11MD, Class A                                                                     | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144339.32    | 0.11%             | 2042-10-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2520000 | PA      | $2568706.56   | 2.04%             | 2056-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class A                                                                     | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $194878.13    | 0.15%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502193 | PA      | $523595.96    | 0.42%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2018-32, Class PS                                          | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877563 | PA      | $744686.48    | 0.59%             | 2048-05-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1251000 | PA      | $-1171656.83  | -0.93%            | 2056-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    827000 | PA      | $726254.41    | 0.58%             | 2056-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-ARIA, Class A                                                                                          | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $170895.08    | 0.14%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -13 | NC      | $27399.91     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295UGM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85123 | PA      | $87540.70     | 0.07%             | 2037-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K116, Class X1 | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1092801 | PA      | $53447.34     | 0.04%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11592 | PA      | $11680.44     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176TF45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61748 | PA      | $60938.42     | 0.05%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200K3Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1919 | PA      | $1938.42      | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182AGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57740 | PA      | $56531.27     | 0.04%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1353622 | PA      | $1398508.71   | 1.11%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3013000 | PA      | $2689384.25   | 2.14%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-5, Class LI                                                            | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292752 | PA      | $54405.74     | 0.04%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TK47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92647 | PA      | $92322.37     | 0.07%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                                    | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150046.88    | 0.12%             | 2041-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140W4VV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238505 | PA      | $236344.09    | 0.19%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -17965000 | PA      | $-15101828.13 | -12.01%           | 2056-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36225BYG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109714 | PA      | $111022.06    | 0.09%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201SX87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3215 | PA      | $3236.48      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200EZC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2287 | PA      | $2292.25      | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-BIO, Class A                                                                                           | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124686.56    | 0.10%             | 2041-02-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11919000 | PA      | $11753643.42  | 9.34%             | 2056-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36294XL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92750 | PA      | $96244.35     | 0.08%             | 2037-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-3BP, Class A                                                                      | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $561468.75    | 0.45%             | 2042-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-16                                                                        | CUSIP: 3136BRQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726537 | PA      | $519769.52    | 0.41%             | 2051-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182AGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151983 | PA      | $142808.39    | 0.11%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213UYK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $140.09       | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -1252000 | PA      | $-30158.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358846 | PA      | $328460.98    | 0.26%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202WDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27976 | PA      | $27901.04     | 0.02%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177WMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29085 | PA      | $26847.19     | 0.02%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KYSM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47424 | PA      | $48812.14     | 0.04%             | 2037-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1216000 | PA      | $1207241.26   | 0.96%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201VHR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16306 | PA      | $16262.67     | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class A                                                                   | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $167130.69    | 0.13%             | 2042-11-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQAK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83201 | PA      | $84818.43     | 0.07%             | 2030-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F060642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1630000 | PA      | $-1661504.64  | -1.32%            | 2056-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48473 | PA      | $44391.37     | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-1033.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150990 | PA      | $159109.63    | 0.13%             | 2040-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140NBQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28380 | PA      | $28113.84     | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200KSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       597 | PA      | $594.96       | 0.00%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626984 | PA      | $636406.09    | 0.51%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 1301 Trust                                                                | 1301 Trust, Series 2025-1301, Class A                                                                                        | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165000 | PA      | $165391.45    | 0.13%             | 2042-08-11      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                             | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242409 | PA      | $241954.50    | 0.19%             | 2039-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37299 | PA      | $36915.28     | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176LAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73858 | PA      | $72117.14     | 0.06%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177WVW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18615 | PA      | $16999.41     | 0.01%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KYXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151466 | PA      | $155972.50    | 0.12%             | 2037-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9663 | PA      | $9787.64      | 0.01%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3815 | PA      | $3881.24      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-195                                                                    | CUSIP: 38383LCA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118042 | PA      | $95063.63     | 0.08%             | 2052-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617AUAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129761 | PA      | $129564.31    | 0.10%             | 2047-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290N5L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31751 | PA      | $31858.78     | 0.03%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020448<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6379000 | PA      | $5866528.17   | 4.66%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5083456 | PA      | $4530013.01   | 3.60%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F062648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    879000 | PA      | $909328.82    | 0.72%             | 2056-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200K7G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2532 | PA      | $2571.02      | 0.00%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-28L, Class A                                                                      | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99577.32     | 0.08%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VLT6, Class A                                                                                          | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $814362.50    | 0.65%             | 2042-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -824000 | PA      | $-10133.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31286DFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69862 | PA      | $72070.82     | 0.06%             | 2037-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36177WS50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43844 | PA      | $40256.61     | 0.03%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31406SZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23304 | PA      | $23174.67     | 0.02%             | 2035-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Y7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413647 | PA      | $417083.74    | 0.33%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FKS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81826 | PA      | $84987.28     | 0.07%             | 2040-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176BZB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72668 | PA      | $70955.35     | 0.06%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |  -2946550 | PA      | $-96065.03    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43087 | PA      | $42727.69     | 0.03%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-87, Class NI                                                           | CUSIP: 38382TKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1225964 | PA      | $203940.40    | 0.16%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201YPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2546 | PA      | $2598.95      | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295MUW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99365 | PA      | $99359.99     | 0.08%             | 2037-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291TZN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30653 | PA      | $30575.84     | 0.02%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-23, Class CI                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611109 | PA      | $108538.83    | 0.09%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22860 | PA      | $22618.39     | 0.02%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31413KSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103434 | PA      | $103107.16    | 0.08%             | 2037-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228957 | PA      | $209463.67    | 0.17%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31286DLD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64852 | PA      | $66696.85     | 0.05%             | 2037-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class A                                                                                          | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $109312.50    | 0.09%             | 2041-06-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KY4G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73955 | PA      | $76174.44     | 0.06%             | 2037-07-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295DK32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29085 | PA      | $30032.42     | 0.02%             | 2037-06-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                             | CHI Commercial Mortgage Trust, Series 2025-110W, Class A                                                                     | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $173818.23    | 0.14%             | 2040-12-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295FSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55834 | PA      | $56033.38     | 0.04%             | 2037-05-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200KNL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25939 | PA      | $26154.72     | 0.02%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200JW30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23013 | PA      | $22951.24     | 0.02%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128L3AB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113339 | PA      | $117225.48    | 0.09%             | 2037-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395816 | PA      | $383401.73    | 0.30%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213FYX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9704 | PA      | $9747.03      | 0.01%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8182 | PA      | $8273.60      | 0.01%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17965000 | PA      | $15101828.13  | 12.01%            | 2056-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291XAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5396 | PA      | $5459.34      | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200DBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17315 | PA      | $17380.69     | 0.01%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELLB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122423 | PA      | $115416.41    | 0.09%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040446<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    231000 | PA      | $225579.18    | 0.18%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202TKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99634 | PA      | $99291.74     | 0.08%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32496 | PA      | $33934.16     | 0.03%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-159, Class IH                                                          | CUSIP: 38382XT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6757543 | PA      | $1168965.67   | 0.93%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200KQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8187 | PA      | $8162.38      | 0.01%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-127, Class IA                                                          | CUSIP: 38383UDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6068044 | PA      | $1219685.88   | 0.97%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201XAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18564 | PA      | $18725.00     | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202SWP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28193 | PA      | $28414.56     | 0.02%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $366251.36    | 0.29%             | 2056-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRYN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084863 | PA      | $1139845.77   | 0.91%             | 2054-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295DFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60863 | PA      | $62844.45     | 0.05%             | 2037-05-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -245000 | PA      | $-224678.56   | -0.18%            | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQAH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27997 | PA      | $28169.44     | 0.02%             | 2027-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36207EMZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34030 | PA      | $33950.59     | 0.03%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2013-10, Class PI                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49338 | PA      | $5793.35      | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J4B32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       842 | PA      | $805.07       | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81309 | PA      | $74449.43     | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21093 | PA      | $19274.12     | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31412EDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219791 | PA      | $216673.71    | 0.17%             | 2037-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128P8BH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339163 | PA      | $324135.59    | 0.26%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -76000 | PA      | $-69894.36    | -0.06%            | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2HZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1202665 | PA      | $1267191.80   | 1.01%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                             | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A                                                                     | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99687.50     | 0.08%             | 2039-05-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NVP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79358 | PA      | $76286.11     | 0.06%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291KZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5545 | PA      | $5531.01      | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31406XJ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       174 | PA      | $176.98       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201VHV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2998 | PA      | $2990.12      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52356 | PA      | $51919.91     | 0.04%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36292FT64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3460 | PA      | $3501.19      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200KS73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31439 | PA      | $31721.00     | 0.03%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-41                                                                        | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1174029 | PA      | $208502.10    | 0.17%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213TF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2958 | PA      | $3015.54      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200HWB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25338 | PA      | $25818.30     | 0.02%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31410SJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52102 | PA      | $51526.03     | 0.04%             | 2036-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295C2K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35538 | PA      | $35761.18     | 0.03%             | 2037-02-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427MHN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1430414 | PA      | $1444969.12   | 1.15%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31406QPA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61713 | PA      | $61372.66     | 0.05%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class A                                                                                        | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $179367.73    | 0.14%             | 2042-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201XRF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15728 | PA      | $15978.10     | 0.01%             | 2036-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200NRN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19712 | PA      | $19875.59     | 0.02%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201UHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3797 | PA      | $3784.19      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                                                | SHRN Trust, Series 2025-MF18, Class A                                                                                        | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $384037.50    | 0.31%             | 2040-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1371000 | PA      | $1284045.97   | 1.02%             | 2056-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-6, Class ES                                        | CUSIP: 38384G2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2584885 | PA      | $180467.36    | 0.14%             | 2053-07-20      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31427QMY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1582181 | PA      | $1634647.56   | 1.30%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291ARL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55237 | PA      | $55712.18     | 0.04%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36200HW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61742 | PA      | $61941.50     | 0.05%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201UZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38978 | PA      | $38877.79     | 0.03%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290R7B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       184 | PA      | $183.98       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31386QAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45412 | PA      | $45212.45     | 0.04%             | 2034-09-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33136 | PA      | $32825.20     | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60593 | PA      | $59969.06     | 0.05%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X2T38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132334 | PA      | $124540.88    | 0.10%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31406QNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43758 | PA      | $43912.80     | 0.03%             | 2034-09-01      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36201XAM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3804 | PA      | $3750.37      | 0.00%             | 2034-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618GRZR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578756 | PA      | $610334.14    | 0.49%             | 2054-07-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050445<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -447000 | PA      | $-450264.00   | -0.36%            | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJDW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379443 | PA      | $393192.32    | 0.31%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618NJC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553400 | PA      | $573787.89    | 0.46%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36292HQ63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149600 | PA      | $151543.12    | 0.12%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-27, Class IJ                                                              | CUSIP: 3136B9TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2356255 | PA      | $443537.24    | 0.35%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-35, Class FJ                                          | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178761 | PA      | $181051.18    | 0.14%             | 2055-05-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291JGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5266 | PA      | $5293.56      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                                            | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                                                                    | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $444583.04    | 0.35%             | 2040-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291E7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25765 | PA      | $25828.45     | 0.02%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-40, Class EV                                                              | CUSIP: 3136BWHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103569 | PA      | $105292.27    | 0.08%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3086000 | PA      | $3039690.96   | 2.42%             | 2056-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3618FGDQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905806 | PA      | $946282.29    | 0.75%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230L3Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234330 | PA      | $228853.87    | 0.18%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31371HPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15143 | PA      | $15370.93     | 0.01%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24564 | PA      | $24341.11     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36291LRY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17250 | PA      | $17321.59     | 0.01%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31410MSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56712 | PA      | $56092.87     | 0.04%             | 2036-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36290RYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41861 | PA      | $42190.02     | 0.03%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2026-VLT9, Class A                                                                      | CUSIP: 05618UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $189080.32    | 0.15%             | 2045-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                                     | INTOWN Mortgage Trust, Series 2025-STAY, Class A                                                                             | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $427927.50    | 0.34%             | 2042-03-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176LMF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55803 | PA      | $54918.26     | 0.04%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 31387UDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3728 | PA      | $3790.64      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13389 | PA      | $13514.81     | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36206W2C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        34 | PA      | $34.24        | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-NQM6, Class A1A                                                              | CUSIP: 281916AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131834 | PA      | $131091.54    | 0.10%             | 2070-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-31

**Name of Applicant:** BlackRock ETF Trust II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer