# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007199
**Filing Date:** 2026-5
**Character Count:** 324798
**Document Hash:** a49996f9baf6a334e138a0b116e7244c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007199.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007199

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043361

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

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

## Series and Classes Contracts Data

### PIMCO Short-Term Portfolio (Series ID: S000009845)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000027273 | PIMCO Short-Term Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (888) 877-4626

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

- **a. Name of Series:** PIMCO Short-Term Portfolio

- **b. EDGAR series identifier (if any):** S000009845

- **c. LEI of Series:** 7BT1PG61KEUH42XHGX37

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

- **a. Date of fiscal year-end:** 2026-03-31

- **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:** $535969117.48

**Total Liabilities:** $327407570.04

**Net Assets:** $208561547.44

**Cash Not Reported:** $4043438.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 15534.483700 | **1-Year:** 20611.265300 | **5-Year:** 52081.274500 | **10-Year:** 4241.398000 | **30-Year:** 0.000000

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

- **3-Month:** 61.932600 | **1-Year:** 1100.306600 | **5-Year:** 2223.190400 | **10-Year:** 38.774200 | **30-Year:** 1.921700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027273 | 17.39%               | 0.28%                | 0.27%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $182489.94               | $-74951.51                                 |
| Month 2  | $447406.78               | $1324123.12                                |
| Month 3  | $-227015.15              | $-2464390.53                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                              | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35853.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G1477 FH 01/37 FLOATING VAR          | CUSIP: 3128QJUA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1234 | PA      | $1268.19      | 0.00%             | 2037-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8790.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5402 | PA      | $5436.05      | 0.00%             | 2041-09-01      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080635 G2 09/32 FLOATING VAR               | CUSIP: 36225CV52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13721 | PA      | $13897.55     | 0.01%             | 2032-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-25                                   | COUNTRYWIDE HOME LOANS CWHL 2005 25 A11                 | CUSIP: 126694HQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66750 | PA      | $29732.61     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735966 FN 10/33 FLOATING VAR                  | CUSIP: 31402RTX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       740 | PA      | $756.88       | 0.00%             | 2033-10-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.56673 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18890.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA5                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA5 1A1       | CUSIP: 32051GPJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57885 | PA      | $28684.13     | 0.01%             | 2035-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780679 FH 07/33 FLOATING VAR          | CUSIP: 31342AXG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       435 | PA      | $445.06       | 0.00%             | 2033-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $932741.39    | 0.45%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AS0061 FN 08/28 FIXED 3                       | CUSIP: 3138W9B74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13541 | PA      | $13382.43     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-AGS                           | COMMONBOND STUDENT LOAN TRUST CBSLT 2020 AGS A 144A     | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    327202 | PA      | $294229.02    | 0.14%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.45000 03/07/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4951.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1885                                                 | FREDDIE MAC FHR 1885 FA                                 | CUSIP: 3133T83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $67.50        | 0.00%             | 2026-09-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -31 | NC      | $113058.76    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82622 | PA      | $79582.98     | 0.04%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                              | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32891 | PA      | $33023.49     | 0.02%             | 2031-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2026-1A                              | FCCU AUTO RECEIVABLES TRUST FCCU 2026 1A A1 144A        | CUSIP: 30343XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264337 | PA      | $264335.11    | 0.13%             | 2027-02-16      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.43000 02/27/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-177.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A2            | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136820 | PA      | $136861.54    | 0.07%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 12A5       | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14953 | PA      | $14590.29     | 0.01%             | 2035-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR NIM LTD 2007-C                                        | NATIONSTAR NIM TRUST NSTRN 2007 C A 144A                | CUSIP: 63860MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     23958 | PA      | $0.00         | 0.00%             | 2037-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1883140 | PA      | $1810226.25   | 0.87%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W15                                    | FANNIEMAE WHOLE LOAN FNW 2004 W15 1A1                   | CUSIP: 31394BZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7912 | PA      | $8075.30      | 0.00%             | 2044-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 535758 FN 03/30 FLOATING VAR                  | CUSIP: 31384WE71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8936 | PA      | $8910.95      | 0.00%             | 2030-03-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1726777.57   | 0.83%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A2A 144A   | CUSIP: 55287XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371838 | PA      | $372468.23    | 0.18%             | 2028-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15061 | PA      | $14256.28     | 0.01%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0619 G2 09/55 FIXED 3.5                  | CUSIP: 3618N5VM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1799999 | PA      | $1652241.93   | 0.79%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32784.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BV8509 FN 05/52 FIXED 3                       | CUSIP: 3140MNN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    315629 | PA      | $278097.39    | 0.13%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-UST1                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 UST1 A2        | CUSIP: 17307GKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       428 | PA      | $412.19       | 0.00%             | 2034-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2490                                                 | FREDDIE MAC FHR 2490 FB                                 | CUSIP: 31392RUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $43.14        | 0.00%             | 2026-07-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10982.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1L0096 FH 02/35 FLOATING VAR          | CUSIP: 3128Q2C92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25220 | PA      | $25757.58     | 0.01%             | 2035-02-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V7 MORTGAGE TRUST                                 | BENCHMARK MORTGAGE TRUST BMARK 2024 V7 A3               | CUSIP: 08163YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1042714.60   | 0.50%             | 2056-05-15      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 7/15/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $498525.67    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3          | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17443 | PA      | $17438.94     | 0.01%             | 2035-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-448.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       915 | PA      | $936.93       | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                      | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $805134.72    | 0.39%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847433 FH 07/35 FLOATING VAR          | CUSIP: 3128JRHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4921 | PA      | $5020.85      | 0.00%             | 2035-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A      | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42090 | PA      | $42140.60     | 0.02%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B          | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2477 | PA      | $2477.51      | 0.00%             | 2027-09-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                       | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5780 | PA      | $5444.88      | 0.00%             | 2027-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 1A1         | CUSIP: 05949AGR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9521 | PA      | $9404.05      | 0.00%             | 2034-06-25      | Fixed         | 6.87%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A      | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28146 | PA      | $28209.91     | 0.01%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 26-1                                   | TOWD POINT MORTGAGE TRUST TPMT 2026 1 A1A 144A          | CUSIP: 891959AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978470 | PA      | $965980.02    | 0.46%             | 2066-01-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A            | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9528 | PA      | $9237.35      | 0.00%             | 2032-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A3        | CUSIP: 12667GL92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    619673 | PA      | $596377.54    | 0.29%             | 2035-08-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12200000 | PA      | $12240465.57  | 5.87%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 781560 FN 10/34 FLOATING VAR                  | CUSIP: 31404XJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1549 | PA      | $1578.22      | 0.00%             | 2034-10-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                  | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                 | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771892 | PA      | $783771.02    | 0.38%             | 2034-09-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BJ2526 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3YY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22915 | PA      | $21170.21     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-2                                    | SEQUOIA MORTGAGE TRUST SEMT 2005 2 A2                   | CUSIP: 81744FGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29488 | PA      | $27757.92     | 0.01%             | 2035-03-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                               | BAIN CAPITAL CREDIT CLO  LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    850000 | PA      | $850207.75    | 0.41%             | 2035-04-23      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       835 | PA      | $813.13       | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST                                    | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2003 2 3A3           | CUSIP: 29445FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21038 | PA      | $21074.18     | 0.01%             | 2033-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                          | BCAP LLC TRUST BCAP 2010 RR3 4A5 144A                   | CUSIP: 05532WBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    374554 | PA      | $152525.57    | 0.07%             | 2036-02-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 826436 FN 07/35 FLOATING VAR                  | CUSIP: 31407CEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       497 | PA      | $511.18       | 0.00%             | 2035-07-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.9* 02/09/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $21091.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1               | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3033 | PA      | $2750.05      | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.25000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-408437.11   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9122.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A3 144A    | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $803171.60    | 0.39%             | 2030-06-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847276 FH 04/34 FLOATING VAR          | CUSIP: 3128JRCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159 | PA      | $162.01       | 0.00%             | 2034-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC. CORP 2002-AR28                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR28 1A2       | CUSIP: 22541NNN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3344 | PA      | $3297.57      | 0.00%             | 2032-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 3A1       | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19767 | PA      | $17688.14     | 0.01%             | 2035-11-19      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A      | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1041254.86   | 0.50%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13426.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A       | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272857 | PA      | $273486.29    | 0.13%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725998 FN 11/34 FLOATING VAR                  | CUSIP: 31402DRT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1476 | PA      | $1511.51      | 0.00%             | 2034-11-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2018-EA                               | NAVIENT STUDENT LOAN TRUST NAVSL 2018 EA A2 144A        | CUSIP: 63890BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23914 | PA      | $23909.44     | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H2581 FH 01/36 FLOATING VAR          | CUSIP: 3128QLRA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4785 | PA      | $4997.13      | 0.00%             | 2036-01-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555177 FN 01/33 FLOATING VAR                  | CUSIP: 31385WXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1228 | PA      | $1255.64      | 0.00%             | 2033-01-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6700000 | PA      | $-5395331.98  | -2.59%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2413                                                 | FREDDIE MAC FHR 2413 FB                                 | CUSIP: 31339NE85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5739 | PA      | $5743.81      | 0.00%             | 2032-02-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1               | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86836 | PA      | $82772.27     | 0.04%             | 2034-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-170995.11   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-2A                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 2A A2 144A    | CUSIP: 78398HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480627 | PA      | $481421.87    | 0.23%             | 2028-11-20      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.08000 02/23/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-17627.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2117315 | PA      | $2069264.05   | 0.99%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 811925 FN 04/35 FLOATING VAR                  | CUSIP: 31406KA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289 | PA      | $297.51       | 0.00%             | 2035-04-01      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                               | FANNIE MAE FNR 1999 37 F                                | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2688 | PA      | $2685.11      | 0.00%             | 2029-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 865643 FH 04/30 FLOATING VAR          | CUSIP: 31348UHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4164 | PA      | $4167.85      | 0.00%             | 2030-04-01      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-16                           | FHLMC STRUCTURED PASS THROUGH FSPC T 16 A               | CUSIP: 3133TKPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35272 | PA      | $34372.27     | 0.02%             | 2029-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR          | CUSIP: 3128NC6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6896 | PA      | $7065.73      | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A    | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23363 | PA      | $22854.21     | 0.01%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 781052 FH 11/33 FLOATING VAR          | CUSIP: 31349SEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22780 | PA      | $23333.79     | 0.01%             | 2033-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                               | FANNIE MAE FNR 2006 30 KF                               | CUSIP: 31395B6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3702 | PA      | $3677.71      | 0.00%             | 2036-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780060 FH 12/32 FLOATING VAR          | CUSIP: 31342AB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1784 | PA      | $1822.70      | 0.00%             | 2032-12-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A 2026-A                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2026 A A1           | CUSIP: 142929AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430598 | PA      | $430603.32    | 0.21%             | 2027-03-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080327 G2 10/29 FLOATING VAR               | CUSIP: 36225CLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69215 | PA      | $69160.09     | 0.03%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2024-4                        | HONDA AUTO RECEIVABLES OWNER T HAROT 2024 4 A3          | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $801769.76    | 0.38%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 545204 FN 05/36 FLOATING VAR                  | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7975 | PA      | $7884.55      | 0.00%             | 2036-05-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 814952 FN 04/35 FLOATING VAR                  | CUSIP: 31406NL93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1445 | PA      | $1480.25      | 0.00%             | 2035-04-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 624612 FN 04/28 FLOATING VAR                  | CUSIP: 31389F3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3463 | PA      | $3471.93      | 0.00%             | 2028-04-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4               | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57401 | PA      | $56117.06     | 0.03%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 781498 FH 01/34 FLOATING VAR          | CUSIP: 31349SUX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45046 | PA      | $46101.29     | 0.02%             | 2034-01-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-6                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 6 A1                   | CUSIP: 81744FCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8315 | PA      | $7548.08      | 0.00%             | 2034-07-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 2A1          | CUSIP: 576433PQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156233 | PA      | $154998.67    | 0.07%             | 2034-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2A1         | CUSIP: 542514BQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15726 | PA      | $15767.82     | 0.01%             | 2032-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745061 FN 03/35 FLOATING VAR                  | CUSIP: 31403CWW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26204 | PA      | $26736.07     | 0.01%             | 2035-03-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0549 FH 06/35 FLOATING VAR          | CUSIP: 3128NCTE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $2074.29      | 0.00%             | 2035-06-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2004-3                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1          | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    796894 | PA      | $804888.30    | 0.39%             | 2034-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $8789.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2026-RPL1         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2026 RPL1 A1 144A   | CUSIP: 61780PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995825 | PA      | $962830.69    | 0.46%             | 2064-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 766453 FN 03/34 FLOATING VAR                  | CUSIP: 31404EQE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7966 | PA      | $8133.34      | 0.00%             | 2034-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5527.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 753923 FN 11/33 FLOATING VAR                  | CUSIP: 31403NSL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20816 | PA      | $21293.19     | 0.01%             | 2033-11-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE2230 FR 05/52 FIXED 3               | CUSIP: 3133BBPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93308 | PA      | $82145.56     | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 2A1          | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9525 | PA      | $8859.83      | 0.00%             | 2033-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2026-A                              | FORD CREDIT AUTO OWNER TRUST FORDO 2026 A A2A           | CUSIP: 34532WAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1039656.18   | 0.50%             | 2029-01-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-2 TRUST                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 2 A 144A       | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184138 | PA      | $184778.09    | 0.09%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1       | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13504 | PA      | $12304.52     | 0.01%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                                 | BANK5 BANK5 2026 5YR20 A3                               | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $527999.21    | 0.25%             | 2059-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2557                                                 | FREDDIE MAC FHR 2557 WF                                 | CUSIP: 31393JPL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14085 | PA      | $14052.34     | 0.01%             | 2033-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-197433.17   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3410.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A    | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405076 | PA      | $383156.56    | 0.18%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 789276 FH 04/32 FLOATING VAR          | CUSIP: 31295NJV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4884 | PA      | $4977.09      | 0.00%             | 2032-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21         | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65542 | PA      | $46058.27     | 0.02%             | 2035-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A    | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $899236.35    | 0.43%             | 2042-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 844214 FN 11/35 FLOATING VAR                  | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10065 | PA      | $10212.32     | 0.00%             | 2035-11-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -268 | NC      | $421566.41    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735435 FN 02/35 FLOATING VAR                  | CUSIP: 31402RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3261 | PA      | $3335.47      | 0.00%             | 2035-02-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H2601 FH 03/36 FLOATING VAR          | CUSIP: 3128QLRW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1447 | PA      | $1495.09      | 0.00%             | 2036-03-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.70520 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $843.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6129.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2742365.46   | 1.31%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                               | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2806044.92   | 1.35%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A    | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $899207.10    | 0.43%             | 2037-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 770144 FN 02/34 FLOATING VAR                  | CUSIP: 31404JS97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6339 | PA      | $6459.41      | 0.00%             | 2034-02-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.87200 04/06/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-95726.95    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3              | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109888 | PA      | $104442.55    | 0.05%             | 2035-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2525                                                 | FREDDIE MAC FHR 2525 AM                                 | CUSIP: 31392XUX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     63803 | PA      | $63962.47     | 0.03%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30616 | PA      | $22526.32     | 0.01%             | 2035-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/26/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36098.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                               | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4481 | PA      | $4475.02      | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                           | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450195.39    | 0.22%             | 2034-10-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080524 G2 07/31 FLOATING VAR               | CUSIP: 36225CSN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54367 | PA      | $54359.45     | 0.03%             | 2031-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                       | LCM LTD PARTNERSHIP LCM 36A A1R 144A                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000387.84   | 0.48%             | 2034-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1        | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27686 | PA      | $30226.03     | 0.01%             | 2033-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81974 | PA      | $82207.02     | 0.04%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $29838.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS USD SOFR/1.76500 03/16/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-10247.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                               | FANNIE MAE FNR 2000 34 F                                | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7205 | PA      | $7198.02      | 0.00%             | 2030-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2026 1 A2          | CUSIP: 80288FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1049726.16   | 0.50%             | 2029-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 3A1                  | CUSIP: 36228F4R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9005 | PA      | $8794.87      | 0.00%             | 2034-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A      | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    257625 | PA      | $243276.54    | 0.12%             | 2046-02-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2129                                                 | FREDDIE MAC FHR 2129 F                                  | CUSIP: 3133TJFT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       932 | PA      | $930.38       | 0.00%             | 2029-02-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10381 | PA      | $10504.81     | 0.01%             | 2033-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2026-A 2026-A                              | ARI FLEET LEASE TRUST ARIFL 2026 A A2 144A              | CUSIP: 04033DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99708.53     | 0.05%             | 2034-11-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 3A3         | CUSIP: 07384MC75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19199 | PA      | $17687.90     | 0.01%             | 2034-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 809324 FN 02/35 FLOATING VAR                  | CUSIP: 31406GD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1936 | PA      | $1960.09      | 0.00%             | 2035-02-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780514 FH 05/33 FLOATING VAR          | CUSIP: 31342ASB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $222.00       | 0.00%             | 2033-05-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4779 FN 10/42 FIXED 4                       | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1832 | PA      | $1789.30      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BM5099 FN 07/48 FIXED VAR                     | CUSIP: 3140J9UZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    313324 | PA      | $289392.43    | 0.14%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                       | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF4 A1 144A   | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622452 | PA      | $612789.45    | 0.29%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 817290 FN 06/35 FLOATING VAR                  | CUSIP: 31406Q7B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11943 | PA      | $12098.26     | 0.01%             | 2035-06-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/3.00 9/19/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-119289.99   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H2567 FH 09/35 FLOATING VAR          | CUSIP: 3128QLQU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6457 | PA      | $6649.49      | 0.00%             | 2035-09-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR30                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR30 2A1       | CUSIP: 22541Q2A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65668 | PA      | $64074.30     | 0.03%             | 2034-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4697 FN 08/42 FIXED 4                       | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46627 | PA      | $45594.40     | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF1 LLC                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 RCF1 A1 144A   | CUSIP: 69381AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241116 | PA      | $1228830.83   | 0.59%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080364 G2 01/30 FLOATING VAR               | CUSIP: 36225CMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       746 | PA      | $745.63       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71388 | PA      | $69762.70     | 0.03%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2019-A                             | COLLEGE AVE STUDENT LOANS CASL 2019 A A2 144A           | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    721814 | PA      | $693020.34    | 0.33%             | 2048-12-28      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555051 FN 11/32 FLOATING VAR                  | CUSIP: 31385WTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1005 | PA      | $1021.72      | 0.00%             | 2032-11-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 26-CES1                      | GS MORTGAGE BACKED SECURITIES GSMBS 2026 CES1 A1 144A   | CUSIP: 36277LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    764334 | PA      | $758222.12    | 0.36%             | 2056-05-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 833479 FN 09/35 FLOATING VAR                  | CUSIP: 31407K6Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32160 | PA      | $33634.35     | 0.02%             | 2035-09-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 2A2       | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5382 | PA      | $4786.13      | 0.00%             | 2033-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LN TR 2004-4                                 | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 4 M1           | CUSIP: 004375CG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246327 | PA      | $241898.01    | 0.12%             | 2035-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1J2948 FH 09/37 FLOATING VAR          | CUSIP: 3128NKHZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    172641 | PA      | $173002.45    | 0.08%             | 2037-09-01      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                  | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2944 | PA      | $2940.80      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 390232 FH 01/30 FLOATING VAR          | CUSIP: 31346VHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8463 | PA      | $8318.53      | 0.00%             | 2030-01-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A                 | NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2B 144A        | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59325 | PA      | $59225.85     | 0.03%             | 2068-11-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847427 FH 09/34 FLOATING VAR          | CUSIP: 3128JRHC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2522 | PA      | $2585.42      | 0.00%             | 2034-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $91736.78     | 0.04%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.77000 02/14/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-40911.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 806770 FN 11/34 FLOATING VAR                  | CUSIP: 31406DJP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20038 | PA      | $20372.99     | 0.01%             | 2034-11-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 21A1      | CUSIP: 07389QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347396 | PA      | $170530.54    | 0.08%             | 2036-10-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6942* 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2036.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    276386 | PA      | $256368.39    | 0.12%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A    | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372461 | PA      | $373409.64    | 0.18%             | 2055-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                 | FREDDIE MAC FHR 2400 FQ                                 | CUSIP: 31339NC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       372 | PA      | $372.26       | 0.00%             | 2032-01-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4680.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 C49 A5         | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $296172.84    | 0.14%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735964 FN 10/35 FLOATING VAR                  | CUSIP: 31402RTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5131 | PA      | $5292.43      | 0.00%             | 2035-10-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555175 FN 01/33 FLOATING VAR                  | CUSIP: 31385WXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1258 | PA      | $1273.39      | 0.00%             | 2033-01-01      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-P1                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 P1 A2 144A    | CUSIP: 96043AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $518969.72    | 0.25%             | 2029-01-16      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 944510 FN 07/37 FLOATING VAR                  | CUSIP: 31413FYF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8465 | PA      | $8708.76      | 0.00%             | 2037-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 834918 FN 07/35 FLOATING VAR                  | CUSIP: 31407MSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2690 | PA      | $2771.03      | 0.00%             | 2035-07-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 4A2          | CUSIP: 576433GH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3059 | PA      | $3004.19      | 0.00%             | 2034-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 8A          | CUSIP: 07384MYY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55 | PA      | $53.49        | 0.00%             | 2033-10-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA2983 G2 07/45 FLOATING VAR               | CUSIP: 36179RJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47998 | PA      | $48934.69     | 0.02%             | 2045-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR          | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       901 | PA      | $928.01       | 0.00%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    420000 | PA      | $404711.75    | 0.19%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847038 FH 01/30 FLOATING VAR          | CUSIP: 3128HDZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18246 | PA      | $18472.08     | 0.01%             | 2030-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18479 | PA      | $18859.97     | 0.01%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-1                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 1 3A2          | CUSIP: 576433JG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119561 | PA      | $109153.33    | 0.05%             | 2034-02-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A      | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    679725 | PA      | $682872.72    | 0.33%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-25                                               | FANNIE MAE FNR 2002 25 FX                               | CUSIP: 31392C6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4347 | PA      | $4392.13      | 0.00%             | 2032-04-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14000000 | PA      | $14472662.26  | 6.94%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 788974 FN 04/34 FLOATING VAR                  | CUSIP: 31405GQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13929 | PA      | $14191.85     | 0.01%             | 2034-04-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 313783 FN 05/36 FLOATING VAR                  | CUSIP: 31374GRC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8835 | PA      | $8745.32      | 0.00%             | 2036-05-01      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3170.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                 | FREDDIE MAC FHR 2417 FY                                 | CUSIP: 31339D7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4198 | PA      | $4205.43      | 0.00%             | 2031-12-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                               | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001008.82   | 0.48%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                               | SLM STUDENT LOAN TRUST SLMA 2006 B A5                   | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114338 | PA      | $112117.45    | 0.05%             | 2039-12-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC 2026-FL11                         | FS RIALTO ISSUER LTD FSRIA 2026 FL11 A 144A             | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1300248.20   | 0.62%             | 2044-01-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 3A1         | CUSIP: 05948XT50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15149 | PA      | $15306.48     | 0.01%             | 2034-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 749706 FN 11/33 FLOATING VAR                  | CUSIP: 31403H3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10481 | PA      | $10722.83     | 0.01%             | 2033-11-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-56                              | FHLMC STRUCTURED PASS THROUGH FSPC T 56 2AF             | CUSIP: 31393RG38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    552293 | PA      | $524708.20    | 0.25%             | 2043-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1         | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10125 | PA      | $9146.64      | 0.00%             | 2035-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE  ASSOCIATION GNR-2019-H11           | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H11 FM          | CUSIP: 38380LVB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    498902 | PA      | $499295.83    | 0.24%             | 2069-05-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                 | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A           | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438798 | PA      | $440245.20    | 0.21%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735199 FN 01/35 FLOATING VAR                  | CUSIP: 31402QX48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6955 | PA      | $7111.03      | 0.00%             | 2035-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2130                                                 | FREDDIE MAC FHR 2130 FD                                 | CUSIP: 3133TJN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7268 | PA      | $7254.69      | 0.00%             | 2029-03-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                           | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A         | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274875 | PA      | $268245.60    | 0.13%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2694.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.2* 09/28/23-5Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-37179.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2025-A                            | MERCEDES BENZ AUTO LEASE TRUST MBALT 2025 A A2A         | CUSIP: 58768YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1423956 | PA      | $1427480.98   | 0.68%             | 2028-04-17      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 563497 FN 11/40 FLOATING VAR                  | CUSIP: 31386G7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       964 | PA      | $963.40       | 0.00%             | 2040-11-01      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                     | FANNIEMAE WHOLE LOAN FNW 2003 W6 6A                     | CUSIP: 31393BW76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5077 | PA      | $5109.39      | 0.00%             | 2042-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $954542.82    | 0.46%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA3333 G2 12/45 FLOATING VAR               | CUSIP: 36179RV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59956 | PA      | $61223.75     | 0.03%             | 2045-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525141 | PA      | $502016.40    | 0.24%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H1289 FH 09/35 FLOATING VAR          | CUSIP: 3128NGC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15334 | PA      | $15805.03     | 0.01%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888304 FN 04/37 FLOATING VAR                  | CUSIP: 31410F3M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $790.60       | 0.00%             | 2037-04-01      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 793028 FN 07/34 FLOATING VAR                  | CUSIP: 31405MA56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17412 | PA      | $18054.02     | 0.01%             | 2034-07-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $124960.59    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A2        | CUSIP: 161630AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50985 | PA      | $51076.12     | 0.02%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2023-1A                               | BANK OF AMERICA AUTO TRUST BAAT 2023 1A A4 144A         | CUSIP: 06428AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1007870.40   | 0.48%             | 2029-07-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                              | MFRA TRUST MFRA 2024 RPL1 A1 144A                       | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826483 | PA      | $788803.73    | 0.38%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3134                                                 | FREDDIE MAC FHR 3134 FA                                 | CUSIP: 31396J4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       798 | PA      | $790.36       | 0.00%             | 2036-03-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 897600 FN 11/36 FLOATING VAR                  | CUSIP: 31410UGH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106800 | PA      | $108365.76    | 0.05%             | 2036-11-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                              | MFRA TRUST MFRA 2020 NQM3 A2 144A                       | CUSIP: 552757AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88155 | PA      | $84916.06     | 0.04%             | 2065-01-26      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.9 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-49492.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                 | FREDDIE MAC FHR 2395 FA                                 | CUSIP: 31339LN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7092 | PA      | $7100.40      | 0.00%             | 2029-06-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 12/21/16-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $129352.81    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-56                                   | COUNTRYWIDE HOME LOANS CWHL 2003 56 5A1                 | CUSIP: 12669FBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16525 | PA      | $16806.41     | 0.01%             | 2033-12-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3195.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1        | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328239 | PA      | $314693.86    | 0.15%             | 2035-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735084 FN 02/34 FLOATING VAR                  | CUSIP: 31402QUH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6722 | PA      | $6875.48      | 0.00%             | 2034-02-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A1 144A           | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    259529 | PA      | $259285.77    | 0.12%             | 2051-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 783599 FN 04/35 FLOATING VAR                  | CUSIP: 31405ARU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3823 | PA      | $3925.89      | 0.00%             | 2035-04-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B7432 FH 11/34 FLOATING VAR          | CUSIP: 3128QPUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94401 | PA      | $96695.11     | 0.05%             | 2034-11-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                              | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1045 | PA      | $1022.17      | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    733224 | PA      | $740573.61    | 0.36%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725828 FN 05/34 FLOATING VAR                  | CUSIP: 31402DLH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2440 | PA      | $2465.07      | 0.00%             | 2034-05-01      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736396 | PA      | $717697.51    | 0.34%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A1        | CUSIP: 86359A4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5435 | PA      | $5419.19      | 0.00%             | 2033-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-3 LLC                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 3 A2 144A       | CUSIP: 29375UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $902357.28    | 0.43%             | 2028-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 03/18/26-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-198.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO LLC 2022-1A                                       | BOYCE PARK CLO, LLC BOYCE 2022 1A A1R 144A              | CUSIP: 103228AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1050000 | PA      | $1050309.86   | 0.50%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0731 FH 02/36 FLOATING VAR          | CUSIP: 3128NCY40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2228 | PA      | $2283.99      | 0.00%             | 2036-02-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972132 FH 11/33 FLOATING VAR          | CUSIP: 31336CLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6715 | PA      | $6900.88      | 0.00%             | 2033-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 703979 FN 05/33 FLOATING VAR                  | CUSIP: 31401CCQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1257 | PA      | $1274.95      | 0.00%             | 2033-05-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080030 G2 01/27 FLOATING VAR               | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7501 | PA      | $7491.19      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.25000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-132182.25   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 844052 FN 11/35 FLOATING VAR                  | CUSIP: 31407XWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1519 | PA      | $1540.46      | 0.00%             | 2035-11-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 462300 FN 10/35 FLOATING VAR                  | CUSIP: 31381JRV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48843 | PA      | $49242.31     | 0.02%             | 2035-10-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 6 LTD 2026-6A                                       | NAVESINK CLO, LIMITED NAVS 2026 6A A1 144A              | CUSIP: 63944AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1050000.00   | 0.50%             | 2037-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 748643 FN 09/33 FLOATING VAR                  | CUSIP: 31403GWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10908 | PA      | $11114.58     | 0.01%             | 2033-09-01      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725805 FN 09/34 FLOATING VAR                  | CUSIP: 31402DKS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13896 | PA      | $14141.06     | 0.01%             | 2034-09-01      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1              | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212312 | PA      | $105850.00    | 0.05%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2        | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15936 | PA      | $15266.20     | 0.01%             | 2035-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2526                                                 | FREDDIE MAC FHR 2526 FC                                 | CUSIP: 31393FGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3623 | PA      | $3614.63      | 0.00%             | 2032-11-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                     | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43583 | PA      | $43442.48     | 0.02%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813842 FN 01/35 FLOATING VAR                  | CUSIP: 31406MEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       880 | PA      | $902.15       | 0.00%             | 2035-01-01      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $588355.47    | 0.28%             | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-6HE                                   | TERWIN MORTGAGE TRUST TMTS 2005 6HE M5                  | CUSIP: 881561RD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20879 | PA      | $20893.57     | 0.01%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6499.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-62                                               | FANNIE MAE FNR 2001 62 FC                               | CUSIP: 31392ADL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8488 | PA      | $8511.48      | 0.00%             | 2031-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11273.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A6              | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56254 | PA      | $55663.09     | 0.03%             | 2035-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 850862 FN 12/35 FLOATING VAR                  | CUSIP: 31408GJF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2338 | PA      | $2404.36      | 0.00%             | 2035-12-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4               | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41297 | PA      | $40373.58     | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-1                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 1 1A                   | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5200 | PA      | $4885.60      | 0.00%             | 2033-04-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A5       | CUSIP: 92922F3K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266561 | PA      | $247797.49    | 0.12%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGE TRUST 2006-2                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 2 3A1          | CUSIP: 576438AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9936 | PA      | $9696.61      | 0.00%             | 2036-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0233 FH 05/35 FLOATING VAR          | CUSIP: 3128NCHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13930 | PA      | $14281.04     | 0.01%             | 2035-05-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                    | SLM STUDENT LOAN TRUST SLMA 2005 B A4                   | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620295 | PA      | $608409.07    | 0.29%             | 2039-06-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                               | FANNIE MAE FNR 2000 32 FM                               | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8201 | PA      | $8193.35      | 0.00%             | 2030-10-18      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A4                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 A4 2A2              | CUSIP: 466247EH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523 | PA      | $501.30       | 0.00%             | 2034-09-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1                                                    | ONSLOW BAY FINANCIAL LLC OBX 2021 NQM1 A1 144A          | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2087423 | PA      | $1857854.95   | 0.89%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 879385 FN 12/35 FLOATING VAR                  | CUSIP: 31409U6W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128457 | PA      | $132042.58    | 0.06%             | 2035-12-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1        | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4912 | PA      | $1667.27      | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18207 | PA      | $17207.75     | 0.01%             | 2046-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/19/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1425974.48  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC 2026-1A                                         | VB S1 ISSUER LLC VBTEL 2026 1A C2 144A                  | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $983819.80    | 0.47%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A           | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360909 | PA      | $354691.23    | 0.17%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3405.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                              | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A              | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $898436.48    | 0.43%             | 2043-08-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B7435 FH 08/35 FLOATING VAR          | CUSIP: 3128QPUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70342 | PA      | $72073.79     | 0.03%             | 2035-08-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4A                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 4A A2           | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514721 | PA      | $515119.95    | 0.25%             | 2028-03-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5        | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259050 | PA      | $239944.25    | 0.12%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-986.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2036.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIGHTSPIRE CAPITAL, INC 26-FL3                                  | BRIGHTSPIRE CAPITAL  INC BRSP 2026 FL3 A 144A           | CUSIP: 116686AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1450000 | PA      | $1447348.76   | 0.69%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 826428 FN 07/35 FLOATING VAR                  | CUSIP: 31407CD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       311 | PA      | $317.59       | 0.00%             | 2035-07-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813599 FN 01/36 FLOATING VAR                  | CUSIP: 31406L3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27052 | PA      | $27834.24     | 0.01%             | 2036-01-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-12                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 12 3A2         | CUSIP: 863579AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3446 | PA      | $3419.95      | 0.00%             | 2034-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 2A2         | CUSIP: 05948XYD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14318 | PA      | $12701.71     | 0.01%             | 2033-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1528859.58   | 0.73%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 782760 FH 11/36 FLOATING VAR          | CUSIP: 31349UB56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       391 | PA      | $405.48       | 0.00%             | 2036-11-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 3A          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1984 | PA      | $1999.85      | 0.00%             | 2033-10-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                 | FREDDIE MAC FHR 2177 F                                  | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1218 | PA      | $1217.28      | 0.00%             | 2029-08-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3089744 | PA      | $1217000.45   | 0.58%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A2         | CUSIP: 86359LEW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923737 | PA      | $888360.89    | 0.43%             | 2035-02-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8847.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 09/17/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $22.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.10 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4152.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 670911 FN 12/32 FLOATING VAR                  | CUSIP: 31391MKY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1956 | PA      | $1977.65      | 0.00%             | 2032-12-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    262480 | PA      | $262913.14    | 0.13%             | 2047-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS USD SOFR/1.73000 02/24/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-41762.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX B 144A      | CUSIP: 36257CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1570907.10   | 0.75%             | 2034-05-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA3128 G2 09/45 FLOATING VAR               | CUSIP: 36179RPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59924 | PA      | $61097.17     | 0.03%             | 2045-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AS3724 FN 11/44 FIXED 3.5                     | CUSIP: 3138WDD65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    458746 | PA      | $432448.13    | 0.21%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A         | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605353 | PA      | $609125.73    | 0.29%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1      | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873268 | PA      | $812921.38    | 0.39%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-15                                               | FANNIE MAE FNR 2002 15 FA                               | CUSIP: 31392CKL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4590 | PA      | $4599.49      | 0.00%             | 2032-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 711968 FN 05/33 FLOATING VAR                  | CUSIP: 31401L6D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8835 | PA      | $9002.51      | 0.00%             | 2033-05-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $515953.13    | 0.25%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2024-22A LTD                                 | BRYANT PARK FUNDING LTD BRYPK 2024 22A A1 144A          | CUSIP: 11766CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002581.89   | 0.48%             | 2037-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1142990.35   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 765160 FH 09/30 FLOATING VAR          | CUSIP: 31348MWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21499 | PA      | $21480.48     | 0.01%             | 2030-09-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                 | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 A1       | CUSIP: 94982DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2143 | PA      | $2120.29      | 0.00%             | 2035-08-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3       | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122956 | PA      | $117180.22    | 0.06%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3           | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100623.18    | 0.05%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 743449 FN 10/33 FLOATING VAR                  | CUSIP: 31403A5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17077 | PA      | $17535.25     | 0.01%             | 2033-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| PRET 2026-RPL1 TRUST                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 RPL1 A1 144A   | CUSIP: 69393EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041456 | PA      | $1010075.62   | 0.48%             | 2070-01-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2451                                                 | FREDDIE MAC FHR 2451 FB                                 | CUSIP: 31392KGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2242 | PA      | $2243.96      | 0.00%             | 2032-03-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                              | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A           | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887650 | PA      | $891917.44    | 0.43%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.18500 04/21/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-29481.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 468927 FN 08/26 FIXED 4.766                   | CUSIP: 31381R4L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    359535 | PA      | $359805.65    | 0.17%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                       | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53423 | PA      | $52537.39     | 0.03%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A         | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    952565 | PA      | $839876.94    | 0.40%             | 2046-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 4 A1 144A           | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140810 | PA      | $138659.65    | 0.07%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3          | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    563367 | PA      | $564139.08    | 0.27%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-4                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 4 3A1          | CUSIP: 007036DN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8831 | PA      | $8758.94      | 0.00%             | 2035-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.67951 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11252.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 793025 FN 07/34 FLOATING VAR                  | CUSIP: 31405MA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29671 | PA      | $30320.58     | 0.01%             | 2034-07-01      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-6A                                | STRUCTURED ASSET SECURITIES CO SASC 2003 6A 2A1         | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53333 | PA      | $52886.55     | 0.03%             | 2033-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    781583 | PA      | $763231.50    | 0.37%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3444 | PA      | $3495.78      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 940325 FN 02/35 FLOATING VAR                  | CUSIP: 31413BD65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57366 | PA      | $58344.39     | 0.03%             | 2035-02-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A3           | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $801696.32    | 0.38%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1A                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2026 1A A2A 144A   | CUSIP: 81885FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1047740.19   | 0.50%             | 2029-08-20      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 959744 FN 11/47 FLOATING VAR                  | CUSIP: 31413YWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100027 | PA      | $103647.62    | 0.05%             | 2047-11-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 816594 FN 02/35 FLOATING VAR                  | CUSIP: 31406QGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7425 | PA      | $7591.97      | 0.00%             | 2035-02-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                    | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A     | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    900000 | PA      | $900059.67    | 0.43%             | 2042-11-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A     | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577808 | PA      | $578175.67    | 0.28%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2026-P1                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2026 P1 A2         | CUSIP: 14689FAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1039012.00   | 0.50%             | 2029-06-11      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745167 FN 01/36 FLOATING VAR                  | CUSIP: 31403CZ87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $278.37       | 0.00%             | 2036-01-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL FA1839 FN 03/45 FIXED VAR                     | CUSIP: 3140W2BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    490805 | PA      | $516455.31    | 0.25%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1088 | PA      | $1095.78      | 0.00%             | 2033-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972126 FH 08/33 FLOATING VAR          | CUSIP: 31336CLF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       644 | PA      | $654.38       | 0.00%             | 2033-08-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL G04621 FG 05/35 FIXED 6               | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6298 | PA      | $6443.83      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 913983 FN 02/37 FLOATING VAR                  | CUSIP: 31411SM86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2957 | PA      | $3022.26      | 0.00%             | 2037-02-01      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-3                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 3 A 144A           | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148182 | PA      | $148303.61    | 0.07%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3465.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                   | LENDMARK FUNDING TRUST LFT 2024 1A A 144A               | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1008103.00   | 0.48%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1K1226 FH 02/36 FLOATING VAR          | CUSIP: 3128NVLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       724 | PA      | $743.11       | 0.00%             | 2036-02-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 4A1                 | CUSIP: 36229RLG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14117 | PA      | $14040.13     | 0.01%             | 2034-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                           | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1698893.84   | 0.81%             | 2034-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2026-1 LLC 2026-1                     | ENTERPRISE FLEET FINANCING LLC EFF 2026 1 A1 144A       | CUSIP: 29376JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263659 | PA      | $263624.31    | 0.13%             | 2027-02-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2509                                                 | FREDDIE MAC FHR 2509 ZQ                                 | CUSIP: 31392WJU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2018 | PA      | $2072.50      | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4294.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6139053.06   | 2.94%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL3                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4         | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282896 | PA      | $124941.27    | 0.06%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-2             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 2 A2          | CUSIP: 10807HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246426 | PA      | $246599.57    | 0.12%             | 2028-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $301348.12    | 0.14%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BJ2470 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3W85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10879 | PA      | $10073.08     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                    | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A2                | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    102688 | PA      | $105075.19    | 0.05%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 38 LTD                                                   | KKR FINANCIAL CLO LTD KKR 38A A1R 144A                  | CUSIP: 48259BAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999127.46    | 0.48%             | 2038-01-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2025-A OWNER TRUST                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2025 A A2A          | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1172669 | PA      | $1175070.90   | 0.56%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2150000 | PA      | $-1966753.39  | -0.94%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 687868 FN 03/33 FLOATING VAR                  | CUSIP: 31400HFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       329 | PA      | $334.19       | 0.00%             | 2033-03-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-42239.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2022-B                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2022 B A4           | CUSIP: 65480JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001335.40   | 0.48%             | 2029-11-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                       | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A        | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29416 | PA      | $29635.34     | 0.01%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 852422 FN 01/36 FLOATING VAR                  | CUSIP: 31408JAX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       724 | PA      | $741.45       | 0.00%             | 2036-01-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 766079 FN 02/34 FLOATING VAR                  | CUSIP: 31404ECQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20379 | PA      | $20815.31     | 0.01%             | 2034-02-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-2A                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 2A A2 144A        | CUSIP: 505912AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566800 | PA      | $567199.16    | 0.27%             | 2028-07-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                       | SCULPTOR CLO LTD SCUL 27A A1RR 144A                     | CUSIP: 81124UBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999185.08    | 0.48%             | 2037-04-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1K1255 FH 11/36 FLOATING VAR          | CUSIP: 3128NVMC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1354 | PA      | $1399.68      | 0.00%             | 2036-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 008913 G2 07/26 FLOATING VAR               | CUSIP: 36202K3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $75.54        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-3                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 2A2         | CUSIP: 07384MUM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69 | PA      | $60.65        | 0.00%             | 2033-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 2A1        | CUSIP: 12667G5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6849 | PA      | $5536.12      | 0.00%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-6                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 6 5A1          | CUSIP: 576433PD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55002 | PA      | $54226.76     | 0.03%             | 2034-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                     | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A            | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    845438 | PA      | $845942.57    | 0.41%             | 2034-10-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       159 | PA      | $161.71       | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    946811 | PA      | $876203.24    | 0.42%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                     | FANNIEMAE WHOLE LOAN FNW 2002 W4 A4                     | CUSIP: 31392DUF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9471 | PA      | $9585.19      | 0.00%             | 2042-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 825398 FN 07/35 FLOATING VAR                  | CUSIP: 31407A7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6812 | PA      | $7038.80      | 0.00%             | 2035-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-21                                               | FANNIE MAE FNR 2003 21 FK                               | CUSIP: 31392JY29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1979 | PA      | $1972.65      | 0.00%             | 2033-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-34                                               | FANNIE MAE FNR 2002 34 FE                               | CUSIP: 31392CQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2013 | PA      | $2012.01      | 0.00%             | 2032-05-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-5                                              | IMPAC CMB TRUST IMM 2005 5 A1                           | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327390 | PA      | $313297.17    | 0.15%             | 2035-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900956.73    | 0.43%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745627 FN 04/36 FLOATING VAR                  | CUSIP: 31403DLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $19.03        | 0.00%             | 2036-04-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $22393418.96  | 10.74%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -213 | NC      | $570671.73    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                  | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1560180 | PA      | $1440442.66   | 0.69%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.50000 06/17/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6656.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 828860 FN 05/35 FLOATING VAR                  | CUSIP: 31407EZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24427 | PA      | $24808.87     | 0.01%             | 2035-05-01      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/21/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-59046.52    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-124                                              | FANNIE MAE FNR 2003 124 F                               | CUSIP: 31393USE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4083 | PA      | $4061.34      | 0.00%             | 2034-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR8                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A1         | CUSIP: 86359LGE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52176 | PA      | $50410.71     | 0.02%             | 2035-05-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888507 FN 02/35 FLOATING VAR                  | CUSIP: 31410GDL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5603 | PA      | $5838.61      | 0.00%             | 2035-02-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.4* 09/07/23-8Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $100324.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418227 | PA      | $1375984.15   | 0.66%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 772734 FN 03/34 FLOATING VAR                  | CUSIP: 31404MPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32788 | PA      | $33604.11     | 0.02%             | 2034-03-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 2A2             | CUSIP: 589929G36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11996 | PA      | $11034.83     | 0.01%             | 2028-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                                 | BANK5 BANK5 2026 5YR20 A2                               | CUSIP: 06650JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $517977.04    | 0.25%             | 2059-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NSLT-2021-BA                                                     | NELNET STUDENT LOAN TRUST NSLT 2021 BA AFX 144A         | CUSIP: 64034QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    950752 | PA      | $901120.35    | 0.43%             | 2062-04-20      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 696061 FN 04/33 FLOATING VAR                  | CUSIP: 31400SJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4864 | PA      | $4914.71      | 0.00%             | 2033-04-01      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972146 FH 04/34 FLOATING VAR          | CUSIP: 31336CL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18027 | PA      | $18427.81     | 0.01%             | 2034-04-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-118                                              | FANNIE MAE FNR 2003 118 FD                              | CUSIP: 31393UMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4099 | PA      | $4084.01      | 0.00%             | 2033-12-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 806721 FN 11/34 FLOATING VAR                  | CUSIP: 31406DG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4534 | PA      | $4694.37      | 0.00%             | 2034-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 938953 FN 08/37 FLOATING VAR                  | CUSIP: 31412YTJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250740 | PA      | $259746.87    | 0.12%             | 2037-08-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1          | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45245 | PA      | $45251.22     | 0.02%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                       | SANDSTONE PEAK LTD. SAND 2021 1A A1R2 144A              | CUSIP: 800130BA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1047470.55   | 0.50%             | 2038-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32787 | PA      | $31841.53     | 0.02%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150176 | PA      | $2152471.92   | 1.03%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 393306 FN 11/26 FLOATING VAR                  | CUSIP: 31378A3P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3937 | PA      | $3940.28      | 0.00%             | 2026-11-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A     | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57029 | PA      | $53503.19     | 0.03%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       596 | PA      | $613.43       | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 2003-AR3                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR3 A1         | CUSIP: 86358HUT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7353 | PA      | $7206.09      | 0.00%             | 2033-11-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                         | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105453 | PA      | $103922.39    | 0.05%             | 2033-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2025 A A2A           | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93896 | PA      | $93938.93     | 0.05%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 2A1A              | CUSIP: 12669GA76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28263 | PA      | $27002.52     | 0.01%             | 2035-06-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13550.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 620064 FN 01/38 FLOATING VAR                  | CUSIP: 31389AZ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       291 | PA      | $290.88       | 0.00%             | 2038-01-01      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.05000 09/08/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8830.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A    | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    792976 | PA      | $774761.57    | 0.37%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-25510.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B3482 FH 07/37 FLOATING VAR          | CUSIP: 3128JNXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39866 | PA      | $41068.03     | 0.02%             | 2037-07-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A          | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2477 | PA      | $2478.54      | 0.00%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 4A1       | CUSIP: 22541QUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6519 | PA      | $6438.28      | 0.00%             | 2033-10-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.50000 12/20/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-20732.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 722780 FN 09/33 FLOATING VAR                  | CUSIP: 31401Y6R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3895 | PA      | $3938.01      | 0.00%             | 2033-09-01      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8030 | PA      | $8295.10      | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/0.9* 8/06/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4656.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1J0305 FH 02/37 FLOATING VAR          | CUSIP: 3128LUKS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1844 | PA      | $1895.90      | 0.00%             | 2037-02-01      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 708329 FN 07/33 FLOATING VAR                  | CUSIP: 31401G4N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22496 | PA      | $22890.77     | 0.01%             | 2033-07-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A1           | CUSIP: 14320BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49947 | PA      | $49949.82     | 0.02%             | 2026-10-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                         | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A            | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436648 | PA      | $435763.53    | 0.21%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.88750 03/22/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-28769.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A               | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $799350.10    | 0.38%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2026-1 LLC 2026-1                     | ENTERPRISE FLEET FINANCING LLC EFF 2026 1 A2 144A       | CUSIP: 29376JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498941.50    | 0.24%             | 2028-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 681769 FN 01/33 FLOATING VAR                  | CUSIP: 31400AMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       723 | PA      | $734.49       | 0.00%             | 2033-01-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/22/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36238.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 768435 FN 01/34 FLOATING VAR                  | CUSIP: 31404GV40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       699 | PA      | $723.42       | 0.00%             | 2034-01-01      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/15/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-60420.77    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AY1114 FN 04/30 FIXED 3                       | CUSIP: 3138YEGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32242 | PA      | $31643.77     | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70674 | PA      | $70707.73     | 0.03%             | 2059-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-42838.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A3        | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1700 | PA      | $1711.01      | 0.00%             | 2037-02-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL SC0376 FR 11/42 FIXED 4               | CUSIP: 3132D9MZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55636 | PA      | $54426.99     | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 395136 FN 07/27 FLOATING VAR                  | CUSIP: 31378C4V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $272.65       | 0.00%             | 2027-07-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2022-D OWNER TRUST                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2022 D A4            | CUSIP: 89239HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $606546.00    | 0.29%             | 2028-04-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745896 FN 09/36 FLOATING VAR                  | CUSIP: 31403DUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $305.68       | 0.00%             | 2036-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1         | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114139 | PA      | $110825.20    | 0.05%             | 2034-01-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $40069.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3239.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.40000 02/23/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3908.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-221171.17   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 2A         | CUSIP: 86359AS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13237 | PA      | $12488.57     | 0.01%             | 2033-09-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 2A        | CUSIP: 93363TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2201853 | PA      | $2098156.30   | 1.01%             | 2046-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13500000 | PA      | $13043884.41  | 6.25%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813844 FN 01/35 FLOATING VAR                  | CUSIP: 31406MER3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3308 | PA      | $3439.72      | 0.00%             | 2035-01-01      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1695037.86   | 0.81%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $494233.20    | 0.24%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51477 | PA      | $51594.32     | 0.02%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-A                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 A A2A 144A      | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143797 | PA      | $139702.47    | 0.07%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $187377.74    | 0.09%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 764394 FN 03/34 FLOATING VAR                  | CUSIP: 31404CGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155674 | PA      | $158041.06    | 0.08%             | 2034-03-01      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1           | CUSIP: 126673AW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2539976 | PA      | $2492569.22   | 1.20%             | 2034-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162427 | PA      | $1121417.09   | 0.54%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 879090 FN 05/36 FLOATING VAR                  | CUSIP: 31409UUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10573 | PA      | $10851.51     | 0.01%             | 2036-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A6              | CUSIP: 466247YS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54045 | PA      | $43788.12     | 0.02%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                  | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3181 | PA      | $3090.89      | 0.00%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 775852 FN 03/44 FLOATING VAR                  | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21989 | PA      | $22253.74     | 0.01%             | 2044-03-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                  | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 B2         | CUSIP: 92922FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134371 | PA      | $129856.75    | 0.06%             | 2033-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    640070 | PA      | $640413.37    | 0.31%             | 2033-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2026-1A                              | FCCU AUTO RECEIVABLES TRUST FCCU 2026 1A A2 144A        | CUSIP: 30343XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $523967.01    | 0.25%             | 2029-10-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2004-FL1                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2004 FL1 2A1       | CUSIP: 32051GDX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44708 | PA      | $43241.97     | 0.02%             | 2035-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34619 | PA      | $33241.12     | 0.02%             | 2034-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 654159 FN 10/32 FLOATING VAR                  | CUSIP: 31390RWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4865 | PA      | $4912.80      | 0.00%             | 2032-10-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12925 | PA      | $12285.69     | 0.01%             | 2034-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 545356 FN 11/31 FLOATING VAR                  | CUSIP: 31385HZV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2776 | PA      | $2829.25      | 0.00%             | 2031-11-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A          | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1332225 | PA      | $1321654.50   | 0.63%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8812.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 821934 FN 06/35 FLOATING VAR                  | CUSIP: 31406WEF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5276 | PA      | $5409.02      | 0.00%             | 2035-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 780840 FN 06/34 FLOATING VAR                  | CUSIP: 31404WPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $692.04       | 0.00%             | 2034-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 789333 FH 04/32 FLOATING VAR          | CUSIP: 31295NLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24877 | PA      | $25340.05     | 0.01%             | 2032-04-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8880.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735834 FN 10/34 FLOATING VAR                  | CUSIP: 31402RPT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26379 | PA      | $26503.80     | 0.01%             | 2034-10-01      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555476 FN 04/33 FLOATING VAR                  | CUSIP: 31385XCM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226 | PA      | $231.50       | 0.00%             | 2033-04-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.67844 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7086.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A       | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112675 | PA      | $113083.45    | 0.05%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 824153 FN 06/34 FLOATING VAR                  | CUSIP: 31406YTJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38451 | PA      | $39489.55     | 0.02%             | 2034-06-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-R1                               | VERUS SECURITIZATION TRUST VERUS 2026 R1 A1 144A        | CUSIP: 924932AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2057803 | PA      | $2041247.60   | 0.98%             | 2067-10-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A   | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    858938 | PA      | $832382.56    | 0.40%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G1748 FH 09/35 FLOATING VAR          | CUSIP: 3128QJ5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $415.70       | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.34000 02/23/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1830.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 804437 FN 12/34 FLOATING VAR                  | CUSIP: 31406AV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18356 | PA      | $18765.76     | 0.01%             | 2034-12-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 629132 FN 05/32 FLOATING VAR                  | CUSIP: 31389L4R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27145 | PA      | $27595.25     | 0.01%             | 2032-05-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725013 FN 04/33 FLOATING VAR                  | CUSIP: 31402CN65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55776 | PA      | $57395.07     | 0.03%             | 2033-04-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12760000 | PA      | $12569518.21  | 6.03%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $87061.64     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/20/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52153.73     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/17/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1441.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A     | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118785 | PA      | $119474.73    | 0.06%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-110885.76   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 1A          | CUSIP: 59020UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17506 | PA      | $15542.60     | 0.01%             | 2034-02-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A2                  | CUSIP: 12669F6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6542 | PA      | $6331.63      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.50 7/05/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-61458.05    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3          | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    483192 | PA      | $483721.61    | 0.23%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    695543 | PA      | $646153.68    | 0.31%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                             | WSTN TRUST WSTN 2023 MAUI A 144A                        | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $505414.15    | 0.24%             | 2037-07-05      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                       | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A          | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $850291.00    | 0.41%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A           | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    454176 | PA      | $419007.57    | 0.20%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B       | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579255 | PA      | $543429.09    | 0.26%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $9054.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 824886 FN 11/33 FLOATING VAR                  | CUSIP: 31407ANB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11725 | PA      | $11959.53     | 0.01%             | 2033-11-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST 26-A                                     | NISSAN AUTO LEASE TRUST NALT 2026 A A2A                 | CUSIP: 65481HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1047708.69   | 0.50%             | 2028-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE1435 FR 05/52 FIXED 3               | CUSIP: 3133BASY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45676 | PA      | $40244.95     | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2003-3                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 3 1A1          | CUSIP: 576433DY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74591 | PA      | $75246.93     | 0.04%             | 2033-09-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 26-1A                      | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 1A A1 144A    | CUSIP: 96043BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    766553 | PA      | $766476.61    | 0.37%             | 2027-01-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1        | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18852 | PA      | $7909.10      | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 255121 FN 12/33 FLOATING VAR                  | CUSIP: 31371LLA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4543 | PA      | $4635.74      | 0.00%             | 2033-12-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 783061 FH 03/35 FLOATING VAR          | CUSIP: 31349UMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8214 | PA      | $8498.23      | 0.00%             | 2035-03-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 904688 FN 12/36 FLOATING VAR                  | CUSIP: 31411DCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1287 | PA      | $1333.23      | 0.00%             | 2036-12-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.37000 03/01/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4283.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-38                                               | FANNIE MAE FNR 2001 38 FB                               | CUSIP: 313920QJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       554 | PA      | $554.07       | 0.00%             | 2031-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2674 | PA      | $2718.77      | 0.00%             | 2034-12-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 870116 FN 09/35 FLOATING VAR                  | CUSIP: 31409FVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46871 | PA      | $48358.66     | 0.02%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A5         | CUSIP: 95002EBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $560524.56    | 0.27%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2          | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29136 | PA      | $28046.58     | 0.01%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                              | MFRA TRUST MFRA 2020 NQM3 A1 144A                       | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246443 | PA      | $236917.81    | 0.11%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 688561 FN 03/33 FLOATING VAR                  | CUSIP: 31400H5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18832 | PA      | $19230.33     | 0.01%             | 2033-03-01      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.00 8/12/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $264446.96    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 737204 FN 08/33 FLOATING VAR                  | CUSIP: 31402TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409 | PA      | $416.81       | 0.00%             | 2033-08-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIV LTD                                        | MARBLE POINT CLO XXIV LTD MP24 2022 1A A1R 144A         | CUSIP: 56607WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000266.44   | 0.48%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                 | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A          | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007019 | PA      | $994816.22    | 0.48%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                               | US TREASURY N/B 02/43 3.125                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4730000 | PA      | $3788803.88   | 1.82%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-1                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 1 A2            | CUSIP: 262102AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408296 | PA      | $408662.32    | 0.20%             | 2028-08-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-1A                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 1A A2 144A        | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85412 | PA      | $85428.34     | 0.04%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 5A1              | CUSIP: 466247K77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2209 | PA      | $2208.34      | 0.00%             | 2033-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.69000 07/11/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-26261.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164934 | PA      | $152521.14    | 0.07%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-65                                               | FANNIE MAE FNR 1997 65 FK                               | CUSIP: 31359QF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1385 | PA      | $1384.84      | 0.00%             | 2027-09-17      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-D                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 D A               | CUSIP: 589929V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71692 | PA      | $65982.77     | 0.03%             | 2028-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.57234 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9160.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE1988 FR 05/52 FIXED 3               | CUSIP: 3133BBF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    192315 | PA      | $169421.27    | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2501.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 872528 FN 06/36 FLOATING VAR                  | CUSIP: 31409JLH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5375 | PA      | $5537.62      | 0.00%             | 2036-06-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2224317 | PA      | $2265489.47   | 1.09%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2026-A 2026-A                              | ARI FLEET LEASE TRUST ARIFL 2026 A A1 144A              | CUSIP: 04033DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151131 | PA      | $151097.69    | 0.07%             | 2027-01-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2115                                                 | FREDDIE MAC FHR 2115 C                                  | CUSIP: 3133THXQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $69.24        | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                  | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106765 | PA      | $111027.99    | 0.05%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A   | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $230000.00    | 0.11%             | 2036-12-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492978 | PA      | $477154.71    | 0.23%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR          | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1123 | PA      | $1152.15      | 0.00%             | 2035-08-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                 | NMLT TRUST NLT 2023 1 A1 144A                           | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761155 | PA      | $702962.32    | 0.34%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 870906 FN 12/36 FLOATING VAR                  | CUSIP: 31409GR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22394 | PA      | $23320.69     | 0.01%             | 2036-12-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                     | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68831 | PA      | $68573.28     | 0.03%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1       | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3584 | PA      | $3599.04      | 0.00%             | 2030-11-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| TPMT-2019-1                                                      | TOWD POINT MORTGAGE TRUST TPMT 2019 1 A1 144A           | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775452 | PA      | $752692.76    | 0.36%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9902.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.50000 12/20/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-12890.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                       | SPACE COAST CREDIT UNION SCCU 2025 1A A3 144A           | CUSIP: 80620BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $903482.82    | 0.43%             | 2031-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 ISSUER LTD                                      | GS REFT 2026 FL1 ISSUER LTD GSREFT 2026 FL1 A 144A      | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1040000 | PA      | $1042600.00   | 0.50%             | 2043-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080317 G2 09/29 FLOATING VAR               | CUSIP: 36225CK70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7948 | PA      | $7966.88      | 0.00%             | 2029-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4             | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $394031.96    | 0.19%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 748754 FN 10/33 FIXED 7                       | CUSIP: 31403GZT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8842 | PA      | $8951.52      | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                              | MFRA TRUST MFRA 2020 NQM1 A1 144A                       | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73114 | PA      | $71441.16     | 0.03%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 789151 FH 03/32 FLOATING VAR          | CUSIP: 31295NEY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9966 | PA      | $10152.41     | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $94340.12     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 39A LTD                                                      | LCM LTD PARTNERSHIP LCM 39A A1R2 144A                   | CUSIP: 50204NBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   1050000 | PA      | $1050157.79   | 0.50%             | 2034-10-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602346 | PA      | $590082.18    | 0.28%             | 2034-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-P1                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 P1 A1 144A    | CUSIP: 96043AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    396800 | PA      | $396776.15    | 0.19%             | 2027-01-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1        | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19643 | PA      | $17295.55     | 0.01%             | 2035-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A      | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210380 | PA      | $211046.22    | 0.10%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 620061 FN 11/27 FLOATING VAR                  | CUSIP: 31389AZ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $282.84       | 0.00%             | 2027-11-01      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.00000 06/21/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7947.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4               | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10648 | PA      | $10406.11     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A2 144A    | CUSIP: 85573EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39486 | PA      | $38092.88     | 0.02%             | 2055-11-25      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A1         | CUSIP: 05948XBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       313 | PA      | $308.39       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                | BDS LTD BDS 2025 FL14 A 144A                            | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $847358.89    | 0.41%             | 2042-10-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2025-1A                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2025 1A A2A 144A   | CUSIP: 73329KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385088 | PA      | $385828.66    | 0.18%             | 2027-12-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H 3A1         | CUSIP: 05948XTL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42394 | PA      | $39698.67     | 0.02%             | 2033-09-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                              | FANNIE MAE FNR 2006 118 A2                              | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23705 | PA      | $23294.93     | 0.01%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -105 | NC      | $234531.99    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7954 | PA      | $7516.92      | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 694703 FN 04/33 FLOATING VAR                  | CUSIP: 31400QX81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3470 | PA      | $3522.58      | 0.00%             | 2033-04-01      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LEASE TRUST 2026-A                               | VOLKSWAGEN AUTO LEASE TRUST VWALT 2026 A A2A            | CUSIP: 92868CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1039816.02   | 0.50%             | 2028-08-21      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5188 FR 10/42 FIXED 4               | CUSIP: 3133KYXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12173 | PA      | $11896.27     | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A4 144A     | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1051612.85   | 0.50%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   2518136 | PA      | $24524121.91  | 11.76%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.11 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $6116.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A1 144A    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78856 | PA      | $75876.80     | 0.04%             | 2055-11-25      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 4A1                  | CUSIP: 36242DBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10158 | PA      | $9571.13      | 0.00%             | 2034-08-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN 2002-A                                  | INDYMAC HOME EQUITY LOAN ASSET INHEL 2002 A AF4         | CUSIP: 43708AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174118 | PA      | $172947.76    | 0.08%             | 2033-05-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C16                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C16 A3        | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $192513.30    | 0.09%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14216 | PA      | $14142.77     | 0.01%             | 2042-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 03/18/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-28955.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2             | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97763 | PA      | $90163.33     | 0.04%             | 2035-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888547 FN 06/37 FLOATING VAR                  | CUSIP: 31410GEU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4792 | PA      | $4896.14      | 0.00%             | 2037-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A6 1A          | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3489 | PA      | $3403.81      | 0.00%             | 2033-09-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7726.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1968                                                 | FREDDIE MAC FHR 1968 FC                                 | CUSIP: 3133TAC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301 | PA      | $301.22       | 0.00%             | 2026-10-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8154.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $94495.38     | 0.05%             | 2041-04-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7A        | CUSIP: 576433WL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15691 | PA      | $15734.86     | 0.01%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 834931 FN 07/35 FLOATING VAR                  | CUSIP: 31407MSU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1149 | PA      | $1172.17      | 0.00%             | 2035-07-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-I                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 4A1         | CUSIP: 05949CHX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5921 | PA      | $5964.10      | 0.00%             | 2035-10-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR10                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR10 A7        | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45590 | PA      | $44243.21     | 0.02%             | 2033-10-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 530683 FN 07/29 FLOATING VAR                  | CUSIP: 31384QRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       963 | PA      | $969.27       | 0.00%             | 2029-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.67444 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9981.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A 2026-A                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2026 A A2A          | CUSIP: 142929AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $524825.70    | 0.25%             | 2029-12-17      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900949.37    | 0.43%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A3           | CUSIP: 14320BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498610.65    | 0.24%             | 2030-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 1A            | CUSIP: 1266714L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1027945 | PA      | $1011188.52   | 0.48%             | 2034-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 1A2         | CUSIP: 07384MB27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100788 | PA      | $96299.13     | 0.05%             | 2034-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                       | LCM LTD PARTNERSHIP LCM 31A AR 144A                     | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001302.15   | 0.48%             | 2034-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 545010 FN 05/36 FLOATING VAR                  | CUSIP: 31385HN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3471 | PA      | $3432.70      | 0.00%             | 2036-05-01      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B7053 FH 04/36 FLOATING VAR          | CUSIP: 3128QPGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72662 | PA      | $74069.00     | 0.04%             | 2036-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                    | SYCAMORE TREE CLO LTD STCP 2023 2A A1R2 144A            | CUSIP: 87122CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1049284.28   | 0.50%             | 2037-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A3 144A    | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39486 | PA      | $38109.19     | 0.02%             | 2055-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $60297.93     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-4                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 4 6A3          | CUSIP: 863579NA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33405 | PA      | $28399.79     | 0.01%             | 2035-03-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A1                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2088 | PA      | $2077.09      | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL G08799 FG 02/48 FIXED 3               | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1943471 | PA      | $1742625.61   | 0.84%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-3                                   | CARMAX AUTO OWNER TRUST CARMX 2025 3 A2A                | CUSIP: 14290FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    714935 | PA      | $715947.70    | 0.34%             | 2028-08-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5519235.49   | 2.65%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2000-38                                        | FANNIE MAE FNR 2000 38 F                                | CUSIP: 31358SVW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3277 | PA      | $3276.52      | 0.00%             | 2030-11-18      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AM5447 FN 03/30 FIXED 4.06                    | CUSIP: 3138L6BR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    404278 | PA      | $402860.72    | 0.19%             | 2030-03-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                             | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A     | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    699309 | PA      | $689806.22    | 0.33%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0058 FH 01/35 FLOATING VAR          | CUSIP: 3128NCB37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       918 | PA      | $950.99       | 0.00%             | 2035-01-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-L                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 L 2A2         | CUSIP: 05948XR29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6048 | PA      | $6069.37      | 0.00%             | 2034-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 594243 FN 12/30 FLOATING VAR                  | CUSIP: 31387UEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $539.98       | 0.00%             | 2030-12-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP BOA                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1943 | PA      | $2033.60      | 0.00%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080685 G2 04/33 FLOATING VAR               | CUSIP: 36225CXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11660 | PA      | $11616.84     | 0.01%             | 2033-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0083 FH 03/35 FLOATING VAR          | CUSIP: 3128NCCU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4683 | PA      | $4800.51      | 0.00%             | 2035-03-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 782451 FH 10/34 FLOATING VAR          | CUSIP: 31349TWL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $99.95        | 0.00%             | 2034-10-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4864 FN 01/43 FIXED 4                       | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31166 | PA      | $30461.84     | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4662 FN 07/42 FIXED 4                       | CUSIP: 31418EFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33877 | PA      | $33122.20     | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.2* 9/15/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3438.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1          | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2552 | PA      | $2578.74      | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2006-A                                    | SLM STUDENT LOAN TRUST SLMA 2006 A A5                   | CUSIP: 78443CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1636274 | PA      | $1596641.95   | 0.77%             | 2039-06-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2584537 | PA      | $2489618.66   | 1.19%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A        | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10546 | PA      | $10717.48     | 0.01%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.05000 09/06/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-25099.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0778 FH 03/36 FLOATING VAR          | CUSIP: 3128NC2K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47058 | PA      | $48728.71     | 0.02%             | 2036-03-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 750809 FN 11/33 FLOATING VAR                  | CUSIP: 31403KDN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25005 | PA      | $25327.16     | 0.01%             | 2033-11-01      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 737652 FN 09/33 FLOATING VAR                  | CUSIP: 31402TQD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19508 | PA      | $19831.62     | 0.01%             | 2033-09-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191743 | PA      | $179782.14    | 0.09%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1591 | PA      | $1554.52      | 0.00%             | 2033-11-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2025-4A LTD                                      | ATLANTIC AVENUE LTD MCCP 2025 4A A 144A                 | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $902113.32    | 0.43%             | 2038-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 782422 FH 09/34 FLOATING VAR          | CUSIP: 31349TVP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25228 | PA      | $25873.57     | 0.01%             | 2034-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 651074 FN 06/32 FLOATING VAR                  | CUSIP: 31390NJT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1885 | PA      | $1887.66      | 0.00%             | 2032-06-01      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 658481 FN 09/33 FLOATING VAR                  | CUSIP: 31390WRA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8326 | PA      | $8422.91      | 0.00%             | 2033-09-01      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10800000 | PA      | $10192586.62  | 4.89%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807114 | PA      | $813939.29    | 0.39%             | 2065-06-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-BA   | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 BA A2 144A    | CUSIP: 858933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1079686 | PA      | $1081661.44   | 0.52%             | 2028-05-22      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                              | POST CLO LTD POST 2021 1A AR 144A                       | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900914.23    | 0.43%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 850124 FN 09/35 FLOATING VAR                  | CUSIP: 31408FPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8375 | PA      | $8532.28      | 0.00%             | 2035-09-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-74413.67    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1              | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13891 | PA      | $12880.58     | 0.01%             | 2028-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2024-4                        | HONDA AUTO RECEIVABLES OWNER T HAROT 2024 4 A2          | CUSIP: 43816DAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44452 | PA      | $44459.12     | 0.02%             | 2027-03-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2025 2A A2A 144A   | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    743937 | PA      | $745371.39    | 0.36%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A     | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826375 | PA      | $791377.53    | 0.38%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $114577.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A1 144A   | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750474 | PA      | $1647153.61   | 0.79%             | 2060-12-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                               | US TREASURY N/B 11/52 4                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $1976652.34   | 0.95%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-HYB1                                 | SEQUOIA MORTGAGE TRUST SEMT 2026 HYB1 A1A 144A          | CUSIP: 81750GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $1016411.97   | 0.49%             | 2056-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.3* 9/22/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $36822.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A3            | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99948.52     | 0.05%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8048 | PA      | $8175.81      | 0.00%             | 2035-11-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1              | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12 | PA      | $10.86        | 0.00%             | 2035-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 810896 FN 01/35 FLOATING VAR                  | CUSIP: 31406H3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9998 | PA      | $10391.29     | 0.00%             | 2035-01-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.52500 03/02/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-222.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1N0117 FH 12/35 FLOATING VAR          | CUSIP: 3128QGDW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5841 | PA      | $5971.09      | 0.00%             | 2035-12-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                     | FANNIEMAE WHOLE LOAN FNW 2002 W4 A5                     | CUSIP: 31392DUA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9092 | PA      | $9630.41      | 0.00%             | 2042-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4729 FN 09/42 FIXED 4                       | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2650 | PA      | $2590.59      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-95                                               | FANNIE MAE FNR 2002 95 FK                               | CUSIP: 31392HGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5384 | PA      | $5381.86      | 0.00%             | 2033-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.2* 9/17/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2455291.84   | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $2589427.43   | 1.24%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS USD SOFR/1.81700 04/05/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-196993.54   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 912687 FN 05/37 FLOATING VAR                  | CUSIP: 31411N6Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136124 | PA      | $139738.53    | 0.07%             | 2037-05-01      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.65000 02/08/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-43520.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A         | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335272 | PA      | $314569.17    | 0.15%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872072 | PA      | $775637.79    | 0.37%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A         | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2383 | PA      | $2339.09      | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-41411.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A      | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1595577.42   | 0.77%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080628 G2 08/32 FLOATING VAR               | CUSIP: 36225CVW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10884 | PA      | $11022.98     | 0.01%             | 2032-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.00000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-94281.01    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE1302 FR 05/52 FIXED 3               | CUSIP: 3133BANT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    185155 | PA      | $162956.58    | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-19                                   | COUNTRYWIDE HOME LOANS CWHL 2005 19 2A2                 | CUSIP: 126694AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60200 | PA      | $10168.12     | 0.00%             | 2035-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES 2026-1A                                     | LAD AUTO RECEIVABLES TRUST LADAR 2026 1A A2 144A        | CUSIP: 505708AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1046553.06   | 0.50%             | 2029-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-47                                               | FANNIE MAE FNR 2000 47 FD                               | CUSIP: 31358SH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4563 | PA      | $4566.80      | 0.00%             | 2030-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $969311.54    | 0.46%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7947.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1980                                                 | FREDDIE MAC FHR 1980 Z                                  | CUSIP: 3133TAG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       807 | PA      | $809.86       | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 655202 FN 05/32 FLOATING VAR                  | CUSIP: 31390S3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1599 | PA      | $1612.09      | 0.00%             | 2032-05-01      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2                    | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1600 | PA      | $1649.86      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2004-FL1                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2004 FL1 1A1       | CUSIP: 32051GDV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20378 | PA      | $19116.89     | 0.01%             | 2035-02-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 256159 FN 02/36 FLOATING VAR                  | CUSIP: 31371MQL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15309 | PA      | $15657.53     | 0.01%             | 2036-02-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B7                                 | BENCHMARK MORTGAGE TRUST BMARK 2018 B7 A2               | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778206 | PA      | $776737.80    | 0.37%             | 2053-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6472 | PA      | $6139.80      | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                   | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A       | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999864.70    | 0.48%             | 2034-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                          | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A          | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $200250.00    | 0.10%             | 2034-08-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-398323.99   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51561 | PA      | $47929.00     | 0.02%             | 2036-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                  | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    469908 | PA      | $434792.16    | 0.21%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270000 | PA      | $260614.81    | 0.12%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    641571 | PA      | $622265.17    | 0.30%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1             | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A   | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1119732.36   | 0.54%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.10000 09/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8055.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1610 | PA      | $1655.79      | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780711 FH 07/33 FLOATING VAR          | CUSIP: 31342AYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3251 | PA      | $3319.67      | 0.00%             | 2033-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030447<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13100000 | PA      | $12513129.56  | 6.00%             | 2041-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A2      | CUSIP: 92925CBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555496 | PA      | $555767.17    | 0.27%             | 2045-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2019-CA                               | NAVIENT STUDENT LOAN TRUST NAVSL 2019 CA A2 144A        | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78662 | PA      | $77928.80     | 0.04%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 540206 FN 05/30 FLOATING VAR                  | CUSIP: 31385CDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7679 | PA      | $7753.67      | 0.00%             | 2030-05-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2       | CUSIP: 939335N84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146 | PA      | $146.09       | 0.00%             | 2031-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15714 | PA      | $15302.16     | 0.01%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-A                              | FORD CREDIT AUTO OWNER TRUST FORDO 2023 A A4            | CUSIP: 344928AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1104221.69   | 0.53%             | 2028-12-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 1A        | CUSIP: 17307GEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12242 | PA      | $12102.74     | 0.01%             | 2034-03-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    146574 | PA      | $136600.22    | 0.07%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU LTD 2021-2A                                        | TRIMARAN CAVU LTD CAVU 2021 2A AR 144A                  | CUSIP: 89624UAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999794.58    | 0.48%             | 2034-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 620051 FN 08/32 FLOATING VAR                  | CUSIP: 31389AZQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1778 | PA      | $1742.13      | 0.00%             | 2032-08-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.68000 07/11/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-26514.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $110437.56    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725187 FN 07/33 FLOATING VAR                  | CUSIP: 31402CUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       657 | PA      | $667.61       | 0.00%             | 2033-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 776887 FN 02/34 FLOATING VAR                  | CUSIP: 31404SCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25820 | PA      | $26023.89     | 0.01%             | 2034-02-01      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN BROTHERS HOLDINGS INC                                     | ESC LEHMAN BRTH HLDH PROD                               | CUSIP: 525ESC6Y0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $700.00       | 0.00%             | 2027-09-27      | None          | 7.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1002 | PA      | $1015.15      | 0.00%             | 2033-02-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR18                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR18 3A1       | CUSIP: 22541QFE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177043 | PA      | $173712.16    | 0.08%             | 2033-07-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A2         | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    756852 | PA      | $756358.90    | 0.36%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.47000 02/22/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1283.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1Q0001 FH 01/36 FLOATING VAR          | CUSIP: 3128S4AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       949 | PA      | $976.44       | 0.00%             | 2036-01-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -72 | NC      | $302681.02    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA2                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA2 2A1       | CUSIP: 32051D4S8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27721 | PA      | $27820.89     | 0.01%             | 2034-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 MONTH SOFR FUT  MAR26 XCME 20260616                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $805.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACORE ISSUER, LLC 26-FL1                                         | ACORE ISSUER, LLC ACORE 2026 FL1 A 144A                 | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1798896.78   | 0.86%             | 2043-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A2A          | CUSIP: 65479WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108746 | PA      | $108779.77    | 0.05%             | 2027-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                 | NAVIENT STUDENT LOAN TRUST NAVSL 2019 D A2A 144A        | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559123 | PA      | $544633.22    | 0.26%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                       | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800970.79    | 0.38%             | 2034-10-28      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                    | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6870 | PA      | $6850.14      | 0.00%             | 2042-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                             | ATLX TRUST ATLX 2024 RPL2 A1 144A                       | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    886572 | PA      | $861633.26    | 0.41%             | 2063-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.8 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2019-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2019 B A2A 144A      | CUSIP: 83192CAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120560 | PA      | $118467.12    | 0.06%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 770377 FN 04/34 FLOATING VAR                  | CUSIP: 31404J2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3469 | PA      | $3523.24      | 0.00%             | 2034-04-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MTGE 20                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 5 2A          | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8371 | PA      | $7935.09      | 0.00%             | 2034-07-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1612388.68  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725212 FN 03/33 FLOATING VAR                  | CUSIP: 31402CVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6976 | PA      | $7135.50      | 0.00%             | 2033-03-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A3       | CUSIP: 939336X81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338263 | PA      | $330723.09    | 0.16%             | 2045-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.0* 8/09/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $31410.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G2592 FH 12/36 FLOATING VAR          | CUSIP: 3128QS2Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10610 | PA      | $10867.13     | 0.01%             | 2036-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7766.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.10 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $14668.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A3          | CUSIP: 863579BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59784 | PA      | $57036.05     | 0.03%             | 2034-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL FS4580 FN 02/43 FIXED VAR                     | CUSIP: 3140XLCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27432 | PA      | $26807.27     | 0.01%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    601275 | PA      | $601893.57    | 0.29%             | 2032-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888143 FN 01/37 FLOATING VAR                  | CUSIP: 31410FWC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       837 | PA      | $860.17       | 0.00%             | 2037-01-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                              | MFRA TRUST MFRA 2020 NQM3 A3 144A                       | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88155 | PA      | $85041.12     | 0.04%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                 | FREDDIE MAC FHR 2177 FA                                 | CUSIP: 3133TLPG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2344 | PA      | $2344.95      | 0.00%             | 2029-08-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 462406 FN 09/37 FLOATING VAR                  | CUSIP: 31381JU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114220 | PA      | $115487.20    | 0.06%             | 2037-09-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-60                                               | FANNIE MAE FNR 2002 60 F1                               | CUSIP: 31392EVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1025 | PA      | $1023.79      | 0.00%             | 2032-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 828735 FN 11/33 FLOATING VAR                  | CUSIP: 31407EV42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71380 | PA      | $73166.66     | 0.04%             | 2033-11-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H1238 FH 12/34 FLOATING VAR          | CUSIP: 3128NGBF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1071 | PA      | $1105.61      | 0.00%             | 2034-12-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0207 G2 02/55 FIXED 6.5                  | CUSIP: 3618N5GR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56552 | PA      | $58809.42     | 0.03%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 02/02/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35189.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP MYI                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-4                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 4 A1                | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119743 | PA      | $1127409.28   | 0.54%             | 2034-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A     | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231459 | PA      | $233456.27    | 0.11%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF5 A1 144A   | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593533 | PA      | $584115.96    | 0.28%             | 2054-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555255 FN 04/40 FLOATING VAR                  | CUSIP: 31385WZU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44295 | PA      | $45338.20     | 0.02%             | 2040-04-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer