# EDGAR Filing Document

**Accession Number:** 0001562565
**File Stem:** 0000035402-26-002610
**Filing Date:** 2026-4
**Character Count:** 452724
**Document Hash:** 8c1b3a66cf8a5a5b91313e1acc5ca3ce
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-002610.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000035402-26-002610

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Merrimack Street Trust
- **CENTRAL INDEX KEY:** 0001562565

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22796
- **FILM NUMBER:** 26895460

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Fidelity Investment Grade Securitized ETF (Series ID: S000071132)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000225827 | Fidelity Investment Grade Securitized ETF | FSEC            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Merrimack Street Trust

- **b. Investment Company Act file number:** 811-22796

- **c. CIK number of Registrant:** 0001562565

- **d. LEI of Registrant:** 549300782HVYOIE6CE74

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Investment Grade Securitized ETF

- **b. EDGAR series identifier (if any):** S000071132

- **c. LEI of Series:** 549300HFZPB6XNO7BR43

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $9502198802.83

**Total Liabilities:** $5046600211.58

**Net Assets:** $4455598591.25

**Delayed Delivery Securities:** $2960776574.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 27005.68886457 | **1-Year:** 348186.14251737 | **5-Year:** 672079.45476447 | **10-Year:** 837595.59206494 | **30-Year:** 235065.82087528

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

- **3-Month:** 351.51358842 | **1-Year:** 2805.06646562 | **5-Year:** 3529.81081559 | **10-Year:** 187.21639886 | **30-Year:** 14.92924535

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000225827 | 0.08%                | 0.48%                | 1.58%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1752500.66              | $-12880281.83                              |
| Month 2  | $8002552.50              | $766793.98                                 |
| Month 3  | $7154606.73              | $48345540.34                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Securitized Index

- **Index Identifier:** 19910058

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 03/01/2045#AY1306                                                  | CUSIP: 3138YENY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22160 | PA      | $21298.47      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   56422753 | NS      | $56434037.33   | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL I                                    | MORGAN STANLEY CAPITAL I 2.782% 08/15/2049                                        | CUSIP: 61767FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10000 | PA      | $9919.45       | 0.00%             | 2049-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24             | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                 | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    5428782 | PA      | $5400518.04    | 0.12%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 11/46#MA4126                                                           | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8755418 | PA      | $8128011.39    | 0.18%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2031#MA2868                                                  | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5915648 | PA      | $5750067.38    | 0.13%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHMS K059 A2 CSTR 09/25/2026                                                      | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14145260 | PA      | $14069354.64   | 0.32%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                      | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                     | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1456000 | PA      | $1452855.62    | 0.03%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                     | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.6436% 12/10/2054                        | CUSIP: 12532BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     576648 | PA      | $575372.65     | 0.01%             | 2054-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                              | JPMDB 2017-C5 ASB 3.4919% 03/50                                                   | CUSIP: 46590TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275345 | PA      | $273724.53     | 0.01%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                              | BANK 2017-BNKS 3.131% 06/15/2060                                                  | CUSIP: 06541WAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376514 | PA      | $372773.40     | 0.01%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6         | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050            | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19590 | PA      | $19486.52      | 0.00%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.117% 06/25/2027                                  | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2800400 | PA      | $2778714.54    | 0.06%             | 2027-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P8 A3 3.203% 09/15/2050                  | CUSIP: 17326DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2573826.32    | 0.06%             | 2050-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                              | BANK 2017 BNK7 ASB 3.265% 09/15/2060                                              | CUSIP: 06541XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     692990 | PA      | $688127.24     | 0.02%             | 2060-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                  | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9800000 | PA      | $9726553.90    | 0.22%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017                    | CITIGROUP COML MTG TR 2017-C4 3.471% 10/12/2050                                   | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5350000 | PA      | $5305040.74    | 0.12%             | 2050-10-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34 3.536% 11/15/2052     | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5210000 | PA      | $5164621.42    | 0.12%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2047#MA3148                                                  | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174949 | PA      | $167102.06     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                  | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62906 | PA      | $62424.04      | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK8                                              | BANK 2017-BNK8 A3 3.229% 11/15/2050                                               | CUSIP: 06650AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2506122 | PA      | $2469290.24    | 0.06%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                  | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3873809.94    | 0.09%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNK9                                              | BANK 2017-BNK9 3.47% 11/15/2054                                                   | CUSIP: 06540RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346266 | PA      | $343952.01     | 0.01%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027             | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2300000 | PA      | $2288761.05    | 0.05%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                             | BANK 2018-BNK10 3.641% 02/15/2061                                                 | CUSIP: 065404AZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393635 | PA      | $391897.89     | 0.01%             | 2061-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                    | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3683111 | PA      | $3674434.63    | 0.08%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 03/01/2048#G67710                                                  | CUSIP: 3132XCR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1878956 | PA      | $1797952.61    | 0.04%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2048#BH9215                                                  | CUSIP: 3140GYGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296953 | PA      | $283541.86     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                    | BENCHMARK 2018-B4 MTG TR 4.059% 07/15/2051                                        | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2455535 | PA      | $2457136.44    | 0.06%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                     | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $400098.80     | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B6 MORTGAGE TRUST                            | BENCHMARK 2018-B6 MORTGAGE TRUST 3.995% 10/10/2051                                | CUSIP: 08162CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300000 | PA      | $1292091.97    | 0.03%             | 2051-10-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.05% 09/25/2028                                   | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2219049.14    | 0.05%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C47                            | WELLS FARGO COML MTG TR 2018-C47 ASB 4.365% 09/15/2061                            | CUSIP: 95002DBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732997 | PA      | $1735114.21    | 0.04%             | 2061-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF CSTR 09/25/2030                                        | CUSIP: 3136B3DE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     968523 | PA      | $969051.12     | 0.02%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.06% 10/25/2028                                   | CUSIP: 3137FK4M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5045840.50    | 0.11%             | 2028-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B8 MTG TR                                    | BENCHMARK 2018-B8 A5 MORTGAGE TRUST 4.2317% 01/15/2052                            | CUSIP: 08162UAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     970000 | PA      | $966457.27     | 0.02%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DBGS 2018-C1 MTG TR                                         | DBGS 2018-C1 ASB MTG TR ASB 4.302% 10/15/2051                                     | CUSIP: 23307DAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382921 | PA      | $383588.45     | 0.01%             | 2051-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                      | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3405000 | PA      | $3427999.75    | 0.08%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.859% 11/25/2028                                  | CUSIP: 3137FKSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $2711379.15    | 0.06%             | 2028-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK15                                             | BANK 2018-BNK15 4.285% 11/15/2061                                                 | CUSIP: 06036FBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     727626 | PA      | $729674.30     | 0.02%             | 2061-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 01/01/2048#ZS4751                                                  | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3159546 | PA      | $3016849.97    | 0.07%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.771% 12/25/2028                                  | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1066428 | PA      | $1068840.11    | 0.02%             | 2028-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                   | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                               | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $740065.20     | 0.02%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C50                            | WELLS FARGO COML MTG TR 2019-C50 3.635% 05/15/2052                                | CUSIP: 95001XAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1051855 | PA      | $1043400.69    | 0.02%             | 2052-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 05/01/2049#MA3663                                                  | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3651342 | PA      | $3473883.46    | 0.08%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                   | BENCHMARK 2019-B12 MTG TR 3.1156% 08/15/2052                                      | CUSIP: 08162FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10895000 | PA      | $10541057.40   | 0.24%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 08/01/2049#MA3744                                                    | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15643256 | PA      | $14336193.58   | 0.32%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C51                            | WELLS FARGO COML MTG TR 2019-C51 ASB 3.16% 06/15/2052                             | CUSIP: 95001VAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99570 | PA      | $98200.71      | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2019                                    | GS MTG SECS CORP TR 2019 3.16% 07/10/2052                                         | CUSIP: 36257HBP0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    4850000 | PA      | $4679889.16    | 0.11%             | 2052-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-H6                      | MORGAN STANLEY CAPITAL I TRUST 2019-H6 ASB 3.224% 06/15/2052                      | CUSIP: 61769JAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190232 | PA      | $188041.46     | 0.00%             | 2052-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2049#RA1293                                                    | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85440 | PA      | $78861.83      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK19                                             | BANK 2019-BNK19 3.071% 08/15/2061                                                 | CUSIP: 06540WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208897 | PA      | $206070.11     | 0.00%             | 2061-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 10/01/2049#SD8016                                                    | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4577241 | PA      | $4194792.55    | 0.09%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                    | GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052                                    | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $96358.01      | 0.00%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2019-2                             | ONEMAIN FINL ISSUANCE TR 2019-2 3.14% 10/14/2036 144A                             | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   27800000 | PA      | $27506723.90   | 0.62%             | 2036-10-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                            | WELLS FARGO COML MTG TR 2019-C54 ASB 3.063% 12/15/2052                            | CUSIP: 95001YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364962 | PA      | $359763.22     | 0.01%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2019                                 | JPMDB 2019-COR6 A4 3.0565% 11/13/52                                               | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14477167 | PA      | $13373878.03   | 0.30%             | 2052-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B9 MTG TR                                    | BENCHMARK 2019-B9 MTG TR 2.859% 12/15/2072                                        | CUSIP: 08160KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     374089 | PA      | $367039.81     | 0.01%             | 2072-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-C7                               | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7 3.102% 12/15/2072                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450626 | PA      | $2358865.01    | 0.05%             | 2072-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2019                          | UBS COMMERCIAL MORTGAGE TRUST 2019-C18 3.0352% 12/15/2052                         | CUSIP: 90278PBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1628785.13    | 0.04%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2050#MA3964                                                  | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4891736 | PA      | $4292611.09    | 0.10%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 03/20/2050#MA6541                                                      | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1301729 | PA      | $1197464.42    | 0.03%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                             | BANK 2020-BNK26 2.313% 03/15/2063                                                 | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1986882 | PA      | $1932329.04    | 0.04%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 06/20/2050#MA6710                                                      | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67419 | PA      | $61955.62      | 0.00%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 07/01/2050#RA2958                                                    | CUSIP: 3133KJJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425839 | PA      | $358617.10     | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020             | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2020 2.1798% 05/13/2053                | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $88004.02      | 0.00%             | 2053-05-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MTG TR 2020-C7                                        | BBCMS MTG TR 2020-C7 2.037% 04/15/2053                                            | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4675000 | PA      | $4279777.37    | 0.10%             | 2053-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 07/01/2050#SD8079                                                    | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40960 | PA      | $34315.35      | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2050#MA4158                                                    | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827195 | PA      | $692479.92     | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                               | DBJPM 2020-C9 1.926% 08/15/2053                                                   | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1815971.40    | 0.04%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                             | ONEMAIN FINL ISSUANCE TR 2020-2 1.75% 09/14/2035 144A                             | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8813942 | PA      | $8692935.35    | 0.20%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#SD8090                                                    | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15580300 | PA      | $13052661.02   | 0.29%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 10/01/2050#SD8098                                                    | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     808126 | PA      | $676516.29     | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                               | DBJPM 2020-C9 1.644% 08/15/2053                                                   | CUSIP: 233063AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $1931912.22    | 0.04%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2040#                                                          | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48175 | PA      | $43325.73      | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 06/01/2049#FM4216                                                  | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2388359 | PA      | $2280492.94    | 0.05%             | 2049-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2050#MA4208                                                    | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1130468 | PA      | $946362.15     | 0.02%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 10/20/2050#MA6930                                                      | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8614042 | PA      | $7300561.87    | 0.16%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                   | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $96737.65      | 0.00%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2050#SD7530                                                  | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398232 | PA      | $351697.83     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 01/01/2051#MA4237                                                    | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11450289 | PA      | $9589096.26    | 0.22%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 01/01/2051#SD8121                                                    | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9887862 | PA      | $8274454.99    | 0.19%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2050#MA4077                                                    | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11045880 | PA      | $9253873.38    | 0.21%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2050#SD8106                                                    | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47791568 | PA      | $40008328.40   | 0.90%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GSA2                                    | GS MTG SECS TR 2020-GSA2 2.012% 12/12/2053                                        | CUSIP: 36264KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3018000 | PA      | $2698797.31    | 0.06%             | 2053-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2051#SD8128                                                    | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1555795 | PA      | $1301935.48    | 0.03%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 01/20/2051#785283                                                    | CUSIP: 3622AAXL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21337 | PA      | $18814.14      | 0.00%             | 2051-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#MA4281                                                    | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6692448 | PA      | $5596254.85    | 0.13%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#SD8134                                                    | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2597132 | PA      | $2171733.05    | 0.05%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2051#FM5997                                                    | CUSIP: 3140X9UX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25851 | PA      | $21770.32      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#BR5633                                                    | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368220 | PA      | $309978.07     | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#MA4305                                                    | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4969885 | PA      | $4155839.93    | 0.09%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 03/01/2036#CA9439                                                  | CUSIP: 3140QHPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15014 | PA      | $14389.43      | 0.00%             | 2036-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 04/01/2051#SD8139                                                  | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41812 | PA      | $33228.91      | 0.00%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 12/01/2040#MA4202                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28563128 | PA      | $24737225.38   | 0.56%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2047#CA0607                                                  | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86129 | PA      | $82319.41      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 05/01/2051#MA4325                                                    | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4357205 | PA      | $3643514.25    | 0.08%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2021-1 A                       | FORD CREDIT AUTO OWNER TRUST 2021-1 A 1.37% 10/17/2033 144A                       | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1227000 | PA      | $1222836.42    | 0.03%             | 2033-10-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/51#FM6184                                                         | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014923 | PA      | $858832.16     | 0.02%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/51#RA5117                                                         | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16461214 | PA      | $13852391.68   | 0.31%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2051#SD8140                                                    | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489665 | PA      | $409459.82     | 0.01%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/01/2051#SD8146                                                    | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2603980 | PA      | $2177459.58    | 0.05%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#QC0161                                                    | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27157 | PA      | $22861.69      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021 MORTGAGE TRUST                               | BENCHMARK 2021-B25 ASB MORTGAGE TRUST 2.271% 04/15/2054                           | CUSIP: 08163DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5368000 | PA      | $5135071.74    | 0.12%             | 2054-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                                   | CIM TRUST 1.951% 06/25/2057 144A                                                  | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3821858 | PA      | $3581325.52    | 0.08%             | 2057-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99953.87      | 0.00%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 09/20/2050#MA6864                                                      | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8131913 | PA      | $6908720.83    | 0.16%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 08/20/2050#MA6818                                                      | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3961338 | PA      | $3365478.03    | 0.08%             | 2050-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 10/01/2050#SD7525                                                  | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4858557 | PA      | $4301453.22    | 0.10%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#MA4302                                                  | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2963871 | PA      | $2706556.04    | 0.06%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 05/36#MA4328                                                       | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20869366 | PA      | $19057544.31   | 0.43%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 05/01/2036#RC1950                                                  | CUSIP: 3133L8EX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44671900 | PA      | $40919245.84   | 0.92%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 06/01/2051#SD8150                                                    | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25837 | PA      | $21605.30      | 0.00%             | 2051-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 06/20/2051#MA7418                                                    | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1978937 | PA      | $1746840.99    | 0.04%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                             | BANK 2021-BNK33 2.556% 05/15/2064                                                 | CUSIP: 06541CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3325548 | PA      | $3052772.59    | 0.07%             | 2064-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 08/01/2050#SD7523                                                  | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2847478 | PA      | $2520974.07    | 0.06%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 05/51#MA7368                                                           | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8101579 | PA      | $7435453.61    | 0.17%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2051#SD8142                                                    | CUSIP: 3132DWBK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3558126 | PA      | $3241926.22    | 0.07%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 07/01/2050#FM3742                                                  | CUSIP: 3140X7EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2188664 | PA      | $1937702.60    | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                 | MORGAN STANLEY CAPITAL I L6 A4 CSTR 06/15/2054                                    | CUSIP: 61692CBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3435715 | PA      | $3131790.28    | 0.07%             | 2054-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2051#SD7532                                                    | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34827 | PA      | $29438.24      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 08/01/2051#MA4398                                                    | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27804 | PA      | $23223.45      | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/51#SD7541                                                         | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     909303 | PA      | $768035.79     | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                       | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                       | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      57459 | PA      | $51884.35      | 0.00%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 07/20/2051#MA7472                                                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64102 | PA      | $56583.88      | 0.00%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 12/01/2048#CA2797                                                  | CUSIP: 3140QADB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10813 | PA      | $10897.81      | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 07/51#MA7473                                                           | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2720954 | PA      | $2498762.64    | 0.06%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 06/20/2051#MA7419                                                      | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2146475 | PA      | $1970189.57    | 0.04%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 02/01/2051#SD7535                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3267341 | PA      | $2886567.32    | 0.06%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2051#RA5931                                                    | CUSIP: 3133KMSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32115 | PA      | $27005.23      | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 02/01/2051#FM8768                                                  | CUSIP: 3140XCW61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1220323 | PA      | $1075818.90    | 0.02%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 06/01/2050#SD8080                                                    | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25503538 | PA      | $21381962.32   | 0.48%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2051#MA4437                                                    | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36760 | PA      | $30692.82      | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 10/01/2051#                                                          | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8269326 | PA      | $7513783.42    | 0.17%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2050#FM7147                                                  | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13878294 | PA      | $13229818.03   | 0.30%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 07/01/2047#FM3371                                                  | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37434 | PA      | $38068.06      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 01/01/2051#MA4236                                                  | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28324 | PA      | $22553.37      | 0.00%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2032#FM1681                                                  | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36080 | PA      | $35082.01      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 09/20/2051#MA7590                                                      | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39127 | PA      | $35895.58      | 0.00%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                 | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                   | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2715349 | PA      | $2714500.60    | 0.06%             | 2038-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                       | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A            | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2461000 | PA      | $2456385.63    | 0.06%             | 2036-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2051#FM8864                                                  | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     986313 | PA      | $869827.26     | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                        | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     803605 | PA      | $803354.15     | 0.02%             | 2026-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6302                                                    | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36543 | PA      | $30660.30      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                             | BX TR 2021-ACNT TSFR1M+96.448 11/15/2026 144A                                     | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469149 | PA      | $469002.80     | 0.01%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 3650R 2021-PF1 COMMERCIAL MORTGAGE TRUST                    | 3650R 2021-PF1 ASB COMMERCIAL MORTGAGE TRUST 2.372% 11/15/2054                    | CUSIP: 88581EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1340739.96    | 0.03%             | 2054-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10649932 | PA      | $10646603.57   | 0.24%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028                                  | CUSIP: 3137H4BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7600000 | PA      | $7294277.84    | 0.16%             | 2028-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.154% 10/25/2031                                  | CUSIP: 3137H4R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2011706.62    | 0.05%             | 2031-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#RA6510                                                    | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2217871 | PA      | $1864990.26    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6239                                                    | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290788 | PA      | $244521.11     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 21-M2S A3 VAR 10/25/2031                           | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $451275.70     | 0.01%             | 2031-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C61 2.525% 11/15/2054                  | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1825000 | PA      | $1751223.83    | 0.04%             | 2054-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 06/01/2046#BM5168                                                  | CUSIP: 3140J9W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34739 | PA      | $31564.40      | 0.00%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 07/01/2043#ZS3792                                                  | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48167 | PA      | $43783.48      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2052#MA4512                                                  | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40023 | PA      | $34883.20      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 01/01/2052#SD8189                                                  | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4977020 | PA      | $4337899.28    | 0.10%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 07/01/2051#SD0716                                                    | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1263360 | PA      | $1071034.80    | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2050#FM5305                                                    | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47083 | PA      | $39798.10      | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 01/01/2051#SD8120                                                  | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28064 | PA      | $22346.40      | 0.00%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2050#SD7528                                                    | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2481098 | PA      | $2097190.61    | 0.05%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2051#SD7548                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82240354 | PA      | $72579012.52   | 1.63%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#MA4540                                                    | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1742627 | PA      | $1551134.17    | 0.03%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2050#BQ0552                                                    | CUSIP: 3140KKTJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11721 | PA      | $9907.65       | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                      | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35759 | PA      | $35747.93      | 0.00%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#SD0785                                                    | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1425181 | PA      | $1202876.66    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#SD0786                                                    | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82791 | PA      | $69876.99      | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#CB2837                                                    | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130077 | PA      | $109746.56     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#CB2838                                                    | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2525786 | PA      | $2130227.55    | 0.05%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 01/01/2052#SD7549                                                    | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3752686 | PA      | $3168503.41    | 0.07%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#FS0599                                                    | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24921 | PA      | $21064.80      | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2051#FS0002                                                    | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15944 | PA      | $14537.17      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 01/01/2052#SD0892                                                    | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226632 | PA      | $191281.10     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2022-C14                               | BBCMS Mortgage Trust 2022-C14 ASB 2.901% 02/15/2055                               | CUSIP: 07336AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $577933.38     | 0.01%             | 2055-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 02/01/2052#SD0865                                                  | CUSIP: 3132DM6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1047877 | PA      | $989712.06     | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 08/20/2051#MA7535                                                      | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3229129 | PA      | $2962414.02    | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#FS1015                                                    | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349782 | PA      | $293910.33     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS1112                                                    | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20755814 | PA      | $17550690.78   | 0.39%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 01/52#SD7552                                                       | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125560 | PA      | $110731.06     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 04/01/2041#RB5107                                                  | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15204578 | PA      | $13120257.23   | 0.29%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 02/01/2041#RB5099                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29324567 | PA      | $25358519.25   | 0.57%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 01/01/2041#MA4231                                                  | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7108607 | PA      | $6152109.51    | 0.14%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#FM6863                                                    | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130626 | PA      | $110373.06     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2051#                                                          | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138078 | PA      | $126886.21     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#                                                          | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269483 | PA      | $227447.98     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 04/20/2052#MA7988                                                      | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53128796 | PA      | $48748836.81   | 1.09%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032                           | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21200000 | PA      | $19371851.92   | 0.43%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2050#RA3913                                                  | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19467636 | PA      | $17217140.15   | 0.39%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#FM9538                                                    | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186612 | PA      | $157503.44     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3101                                                    | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285089 | PA      | $240441.39     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3105                                                    | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195547 | PA      | $164983.51     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 08/01/2051#RA5746                                                  | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34351 | PA      | $32724.26      | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 05/20/2052#MA8043                                                      | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37568762 | PA      | $34471577.82   | 0.77%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 05/01/2052#CB3508                                                    | CUSIP: 3140QN3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18315 | PA      | $18018.34      | 0.00%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 07/01/2051#CB1157                                                  | CUSIP: 3140QLJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17302 | PA      | $16488.25      | 0.00%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 07/20/2052#MA8149                                                    | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14360219 | PA      | $13621200.79   | 0.31%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 08/01/2052#CB4306                                                    | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275681 | PA      | $281771.45     | 0.01%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2052#RA7127                                                  | CUSIP: 3133KN4L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2030707 | PA      | $1925032.55    | 0.04%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 09/01/2050#CA6947                                                  | CUSIP: 3140QEWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53607428 | PA      | $47460564.37   | 1.07%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 08/20/2052#MA8199                                                    | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8546606 | PA      | $8101431.71    | 0.18%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 01/01/2037#FS2747                                                  | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33574 | PA      | $30659.50      | 0.00%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2% 09/20/2052#MA8263                                                      | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134290 | PA      | $113838.73     | 0.00%             | 2052-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 09/20/2052#MA8266                                                    | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6613733 | PA      | $6269237.90    | 0.14%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 4% 05/01/2040#FS0198                                                    | CUSIP: 3140XFGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13970 | PA      | $14057.69      | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 07/01/2049#SD7502                                                  | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2831054 | PA      | $2701424.71    | 0.06%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 04/01/2052#SD7554                                                  | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22252626 | PA      | $19624548.15   | 0.44%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 10/20/2052#MA8345                                                    | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2754500 | PA      | $2611023.82    | 0.06%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 10/01/2052#CB4893                                                    | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38281 | PA      | $39007.44      | 0.00%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 06/01/2051#FM7510                                                    | CUSIP: 3140XBKY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19012 | PA      | $17369.60      | 0.00%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 08/01/2052#SD7555                                                    | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11035853 | PA      | $10137900.01   | 0.23%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                               | DLLAD 2023-1A 4.79% 01/20/2028 144A                                               | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1842784 | PA      | $1849810.69    | 0.04%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 01/01/2052#SD0856                                                    | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336399 | PA      | $280878.02     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 03/01/2053#SD7559                                                  | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36261 | PA      | $37592.88      | 0.00%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 06/01/2035#QN2431                                                    | CUSIP: 3133G8VY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64831 | PA      | $60909.76      | 0.00%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                 | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                          | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     598000 | PA      | $597631.33     | 0.01%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2053#SD7561                                                    | CUSIP: 3132DVMJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1710534 | PA      | $1680114.22    | 0.04%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2051#FM9464                                                    | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99486 | PA      | $91421.88      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                       | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                            | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        662 | PA      | $663.76        | 0.00%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 04/01/2048#FS3717                                                  | CUSIP: 3140XKDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17577 | PA      | $17874.03      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 4.5% 04/20/2053#MA8799                                                    | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20712 | PA      | $20606.82      | 0.00%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                    | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      17970 | PA      | $16757.75      | 0.00%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                      | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      17741 | PA      | $16242.14      | 0.00%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                              | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   14518000 | PA      | $14546992.45   | 0.33%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLMT 2023-1 LLC                                            | DLLMT 2023-1 LLC 5.34% 03/22/2027 144A                                            | CUSIP: 232989AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     204047 | PA      | $204637.50     | 0.00%             | 2027-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 02/01/2051#SD8127                                                  | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28471 | PA      | $22626.61      | 0.00%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 08/20/2051#785568                                                    | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3733229 | PA      | $3290717.50    | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 12/20/2051#785821                                                    | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2376000 | PA      | $2092880.59    | 0.05%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 10/20/2051#785663                                                    | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2988488 | PA      | $2632385.64    | 0.06%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 10/20/2051#785657                                                    | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6863926 | PA      | $6046033.80    | 0.14%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 10/20/2051#785667                                                    | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3189516 | PA      | $2809459.71    | 0.06%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 06/20/2051#785565                                                    | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2518903 | PA      | $2221117.19    | 0.05%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2023-1 5.5% 06/14/2038 144A                      | CUSIP: 68269JAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2071984.00    | 0.05%             | 2038-06-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 07/01/2041#SC0162                                                    | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18820 | PA      | $16866.91      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2041#CB2110                                                    | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19388 | PA      | $17291.15      | 0.00%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 4% 03/25/2047                                      | CUSIP: 3136BNBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     767186 | PA      | $761303.80     | 0.02%             | 2047-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2051#FS4654                                                    | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5984851 | PA      | $5013910.96    | 0.11%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 2023-1A A 5.8% 04/18/2038 144A                   | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    1214533 | PA      | $1221356.55    | 0.03%             | 2038-04-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                      | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   12517066 | PA      | $10735248.12   | 0.24%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A                            | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11378000 | PA      | $11426891.27   | 0.26%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 06/01/2051#FM7673                                                  | CUSIP: 3140XBQ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4487215 | PA      | $3948852.56    | 0.09%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2048#FS5059                                                  | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569364 | PA      | $545935.45     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 2023-1 A2 SOFR30A+115 06/15/2028 144A            | CUSIP: 361886CS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9320000 | PA      | $9339925.23    | 0.21%             | 2028-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY562346 11/18/64 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |       9986 | NC      | $-4.26         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 08/01/2051#SD2230                                                    | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     483775 | PA      | $404988.10     | 0.01%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA VAR 04/25/2033                                     | CUSIP: 3136BQCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1131511.37    | 0.03%             | 2033-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 03/01/2041#SC0136                                                    | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74277 | PA      | $66919.80      | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 09/01/2053#CB7134                                                  | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18332 | PA      | $19395.89      | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 11/01/2041#SC0210                                                  | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19505 | PA      | $17979.18      | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 3.25% 03/25/2049                                   | CUSIP: 3136BMAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1458967 | PA      | $1390269.22    | 0.03%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 3.25% 07/25/2046                                   | CUSIP: 3136BMGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2577509 | PA      | $2493759.63    | 0.06%             | 2046-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                            | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                             | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     631815 | PA      | $639174.70     | 0.01%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                      | CUSIP: 3137H6V28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2100434 | PA      | $1985199.12    | 0.04%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                      | CUSIP: 3137H6UX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2100434 | PA      | $1985199.12    | 0.04%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2050#FM2629                                                  | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1776555 | PA      | $1567295.95    | 0.04%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030                                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3688033.68    | 0.08%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2                  | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-2 5.48% 12/20/2028                       | CUSIP: 92867YAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     526115 | PA      | $532331.94     | 0.01%             | 2028-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                     | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                          | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     329000 | PA      | $329000.00     | 0.01%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA VAR 03/25/2033                                     | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1437926.84    | 0.03%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#SI2075                                                    | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149549 | PA      | $125193.36     | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                   | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                  | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2420000 | PA      | $2496025.75    | 0.06%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2052#FS5420                                                  | CUSIP: 3140XMAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2663745 | PA      | $2344156.95    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1   | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-1 4.85% 12/18/2028        | CUSIP: 36268GAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4122327 | PA      | $4148124.09    | 0.09%             | 2028-12-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2044                                      | CUSIP: 3137FUE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2406784 | PA      | $2326614.12    | 0.05%             | 2044-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 04/25/2043                                      | CUSIP: 3137FVHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   10532505 | PA      | $10207332.47   | 0.23%             | 2043-04-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                          | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8909293 | PA      | $8909293.45    | 0.20%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC 2024-1                       | ENTERPRISE FLEET FINANCING LLC 2024-1 5.23% 03/20/2030 144A                       | CUSIP: 29375PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     340051 | PA      | $342552.64     | 0.01%             | 2030-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-A                                | SBNA AUTO LEASE TRUST 2024-A 5.24% 01/22/2029 144A                                | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17600000 | PA      | $17642401.92   | 0.40%             | 2029-01-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4% 02/15/2034                                                           | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      14000 | PA      | $14184.30      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2024-1                           | GM FINANCIAL LEASING TRUST 2024-1 5.09% 03/22/2027                                | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1763740 | PA      | $1766546.18    | 0.04%             | 2027-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES 2024-1 OWNER TR                      | HONDA AUTO RECEIVABLES 2024-1 OWNER TR 5.21% 08/15/2028                           | CUSIP: 437918AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2105120 | PA      | $2122775.29    | 0.05%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST                                       | ARI FLEET LEASE TRUST 5.3% 11/15/2032 144A                                        | CUSIP: 00218KAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2793563 | PA      | $2808310.93    | 0.06%             | 2032-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                      | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                           | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1713312 | PA      | $1713311.68    | 0.04%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |       5000 | NC      | $665.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 12/20/2051#785805                                                    | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20821 | PA      | $18320.56      | 0.00%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                          | PRPM 2024-RPL1 LLC A1 4.2% 12/25/2064 144A                                        | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1408458 | PA      | $1396984.63    | 0.03%             | 2064-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 08/01/2052#SD4527                                                    | CUSIP: 3132DSA44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21745 | PA      | $18122.45      | 0.00%             | 2052-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                     | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7776777 | PA      | $7779207.28    | 0.17%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                             | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                          | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14000194 | PA      | $13766008.81   | 0.31%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2024-N1                         | CARVANA AUTO RECEIVABLES TR 2024-N1 A3 5.6% 03/10/2028 144A                       | CUSIP: 14687QAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2206670 | PA      | $2209266.55    | 0.05%             | 2028-03-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                       | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4298446 | PA      | $4299789.31    | 0.10%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 04/01/2054#CB8330                                                  | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44275 | PA      | $45358.45      | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                      | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                      | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1369 | PA      | $1376.17       | 0.00%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 24-1                           | DELL EQUIPMENT FINANCE TRUST 24-1 5.39% 03/22/2030 144A                           | CUSIP: 24702GAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1659354 | PA      | $1670299.56    | 0.04%             | 2030-03-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                   | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    9770639 | PA      | $9879688.54    | 0.22%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 09/01/2052#CB4765                                                    | CUSIP: 3140QQJK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556743 | PA      | $562570.10     | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 04/01/2054#SD7569                                                    | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10609425 | PA      | $11099005.72   | 0.25%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 12/01/2050#RA4142                                                  | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     726618 | PA      | $642619.61     | 0.01%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 03/01/2052#SD7553                                                    | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17205039 | PA      | $15799741.77   | 0.35%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FS5385                                                  | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4420543 | PA      | $3892942.59    | 0.09%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 05/01/2054#                                                          | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21133 | PA      | $21766.69      | 0.00%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                    | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                  | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     844121 | PA      | $844648.67     | 0.02%             | 2041-05-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                              | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   16845000 | PA      | $17115429.63   | 0.38%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                    | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   21452368 | PA      | $19160547.26   | 0.43%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2               | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A               | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     457699 | PA      | $462874.98     | 0.01%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY562346 11/18/64 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      49931 | NC      | $-21.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 07/01/2050#SI2038                                                    | CUSIP: 3133USHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29757 | PA      | $24947.96      | 0.00%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#CB2276                                                  | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034356 | PA      | $906377.98     | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                | ARI FLEET LEASE TRUST 2024-B 5.26% 04/15/2033 144A                                | CUSIP: 04033HAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2670000 | PA      | $2721763.82    | 0.06%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST 2024-A                              | BMW VEHICLE OWNER TRUST 2024-A 5.18% 02/26/2029                                   | CUSIP: 096919AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1450059 | PA      | $1462983.68    | 0.03%             | 2029-02-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#FM6100                                                  | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24272446 | PA      | $22165178.00   | 0.50%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                 | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4280037 | PA      | $4304058.72    | 0.10%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                       | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                       | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2720899 | PA      | $2735652.48    | 0.06%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST 2024-2                            | KUBOTA CREDIT OWNER TRUST 2024-2 5.45% 04/15/2027 144A                            | CUSIP: 50117DAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     113710 | PA      | $113948.77     | 0.00%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.25% 06/30/2029                                                        | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       5000 | PA      | $5130.08       | 0.00%             | 2029-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-C9 MTG TR                                          | BMO 2024-C9 A5 MTG TR 5.7592% 07/15/2057                                          | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18034000 | PA      | $19485886.68   | 0.44%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2054#CB8867                                                  | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19850 | PA      | $21010.03      | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2054#CB8821                                                    | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39684 | PA      | $41242.41      | 0.00%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                      | CARVANA AUTO RECEIVABLES TRUST 2024-N2 A3 5.71% 07/10/2028 144A                   | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10473588 | PA      | $10504336.68   | 0.24%             | 2028-07-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                       | ENTERPRISE FLEET FINANCING 2024-3 LLC 4.98% 08/21/2028 144A                       | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     414000 | PA      | $419428.45     | 0.01%             | 2028-08-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 08/01/2052#SD5573                                                    | CUSIP: 3132DTFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9474759 | PA      | $8700865.92    | 0.20%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.125% 07/31/2031                                                       | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      15000 | PA      | $15408.29      | 0.00%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 09/01/2053#SD7565                                                  | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3946517 | PA      | $4077685.34    | 0.09%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 06/01/2052#SD1082                                                    | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18167 | PA      | $16529.94      | 0.00%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2052#FS0840                                                    | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17171 | PA      | $15623.29      | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#FS0898                                                    | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2228508 | PA      | $2027682.21    | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C5 MTG TR                                         | BMO 24-5C5 A3 MTG TR 5.8574% 02/15/2057                                           | CUSIP: 05593RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1050664.10    | 0.02%             | 2057-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2052#CB2629                                                  | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2496030 | PA      | $2187204.23    | 0.05%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FS7948                                                  | CUSIP: 3140XPZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1770322 | PA      | $1565669.54    | 0.04%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                            | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                               | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5400000 | PA      | $5643343.98    | 0.13%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                          | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                            | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      49222 | PA      | $49101.43      | 0.00%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 08/01/2042#FS8799                                                    | CUSIP: 3140XQX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2271883 | PA      | $2024505.41    | 0.05%             | 2042-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.455 08/29/2029                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    5500000 | NC      | $183362.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.455 08/29/2029                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    5500000 | NC      | $134797.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#FS3884                                                    | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1759284 | PA      | $1600742.40    | 0.04%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 08/01/2054#CB8984                                                  | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2698487 | PA      | $2798252.26    | 0.06%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2048#FS6649                                                  | CUSIP: 3140XNL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1718424 | PA      | $1650480.42    | 0.04%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2048#FS8330                                                    | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1790277 | PA      | $1663629.79    | 0.04%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 06/01/2054#SD7571                                                  | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20729975 | PA      | $21941040.96   | 0.49%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                 | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1A A2 4.56% 05/17/2027 144A             | CUSIP: 92887QAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1154978 | PA      | $1156017.02    | 0.03%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                        | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                         | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2187895 | PA      | $2187893.58    | 0.05%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2051#QB8604                                                    | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54889 | PA      | $46446.92      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2051#QB8773                                                    | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54585 | PA      | $46189.73      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2051#QC0883                                                    | CUSIP: 3133AJ6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56891 | PA      | $48141.54      | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#BR6516                                                    | CUSIP: 3140L5G26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323842 | PA      | $1120241.40    | 0.03%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#BR7744                                                    | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121351 | PA      | $102687.82     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#BR8478                                                    | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135163 | PA      | $114375.56     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#FS3219                                                    | CUSIP: 3140XJSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351815 | PA      | $297707.25     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 07/01/2054#FS8456                                                  | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903681 | PA      | $931725.35     | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 09/01/2054#CB9216                                                    | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2012935 | PA      | $2072641.38    | 0.05%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 09/01/2054#CB9209                                                  | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     733055 | PA      | $750535.16     | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.35% 08/15/2042                                   | CUSIP: 3137AVJY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2692871 | PA      | $2443472.37    | 0.05%             | 2042-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2022-5201 MN 3% 04/25/2048                         | CUSIP: 3137H65X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   18792190 | PA      | $18052587.73   | 0.41%             | 2048-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 01/01/2053#CB5494                                                  | CUSIP: 3140QRC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2894370 | PA      | $3062557.85    | 0.07%             | 2053-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1.75% 02/25/2043                                   | CUSIP: 3136ADR27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3927858 | PA      | $3626634.44    | 0.08%             | 2043-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS4314                                                    | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3260280 | PA      | $2739505.74    | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#FS5131                                                    | CUSIP: 3140XLVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427586 | PA      | $357549.54     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 08/01/2051#FS2097                                                    | CUSIP: 3140XHKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4168478 | PA      | $3805854.25    | 0.09%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2052#SD2383                                                  | CUSIP: 3132DPUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3749608 | PA      | $3579091.15    | 0.08%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 08/01/2049#SD7503                                                  | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5048701 | PA      | $4819106.70    | 0.11%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TR 2024-B                          | MERCEDES-BENZ AUTO LEASE TR 2024-B 4.89% 02/15/2028                               | CUSIP: 58769GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     656480 | PA      | $657755.84     | 0.01%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 02/01/2052#FS8908                                                  | CUSIP: 3140XQ3S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2213141 | PA      | $1969746.22    | 0.04%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 01/01/2048#ZT2430                                                  | CUSIP: 3132AEVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478937 | PA      | $457306.20     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS7871                                                    | CUSIP: 3140XPW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1814145 | PA      | $1527200.60    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                           | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                           | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014018 | PA      | $1001139.17    | 0.02%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2051#FM7484                                                  | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7046717 | PA      | $6238709.35    | 0.14%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 04/01/2047#FP0111                                                    | CUSIP: 3140XTDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7843832 | PA      | $7359668.71    | 0.17%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#FS8764                                                    | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5585847 | PA      | $4702330.64    | 0.11%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY562349 11/18/64 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $30227.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 09/01/2051#SD2991                                                  | CUSIP: 3132DQKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2630329 | PA      | $2328724.13    | 0.05%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 04/01/2052#SD5596                                                  | CUSIP: 3132DTGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4397295 | PA      | $3877965.95    | 0.09%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#FM6624                                                    | CUSIP: 3140XALE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3306393 | PA      | $2784452.33    | 0.06%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#FM6834                                                    | CUSIP: 3140XASY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3495812 | PA      | $2943969.75    | 0.07%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 08/01/2051#FM8309                                                    | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109844 | PA      | $92366.98      | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#FM9732                                                  | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4436376 | PA      | $3901340.76    | 0.09%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2052#FS0880                                                  | CUSIP: 3140XF6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2707340 | PA      | $2379983.31    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2052#FS7149                                                  | CUSIP: 3140XN5K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4392701 | PA      | $3865678.28    | 0.09%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS7234                                                    | CUSIP: 3140XPBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4476896 | PA      | $3763186.58    | 0.08%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FS8930                                                  | CUSIP: 3140XQ4Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2600289 | PA      | $2297253.11    | 0.05%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2052#FS8108                                                  | CUSIP: 3140XQAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4661706 | PA      | $4083470.82    | 0.09%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 09/01/2054#SD7574                                                    | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6708677 | PA      | $7001482.78    | 0.16%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 09/01/2054#SD6419                                                    | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6741926 | PA      | $7059358.59    | 0.16%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 08/01/2052#FS8710                                                    | CUSIP: 3140XQVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6977467 | PA      | $6416273.90    | 0.14%             | 2052-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK48                                             | BANK 2024-BNK48 A5 5.053% 10/15/2057                                              | CUSIP: 06541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6115000 | PA      | $6334122.46    | 0.14%             | 2057-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 10/01/2054#CB9336                                                    | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     860747 | PA      | $901005.31     | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 02/25/2050                                    | CUSIP: 3137FRDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     937079 | PA      | $779599.79     | 0.02%             | 2050-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 09/01/2054#CB9149                                                    | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771329 | PA      | $807646.12     | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 10/01/2054#RJ2642                                                    | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688715 | PA      | $720926.68     | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                       | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                       | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     340000 | PA      | $343764.89     | 0.01%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-R1 LLC                                            | CFMT 2024-R1 A1 LLC 4% 10/25/2054 144A                                            | CUSIP: 12530YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3183729 | PA      | $3144506.78    | 0.07%             | 2054-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2052#SD1090                                                    | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32158 | PA      | $27041.38      | 0.00%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#QB8975                                                    | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17126 | PA      | $14416.96      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#QB9482                                                    | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194294 | PA      | $163562.65     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#QB9961                                                    | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240950 | PA      | $202838.68     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#QC0041                                                    | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226290 | PA      | $190497.78     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2051#QC7127                                                    | CUSIP: 3133AR4L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185604 | PA      | $156073.20     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2051#QC6303                                                    | CUSIP: 3133ARAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183985 | PA      | $154711.22     | 0.00%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2050#BQ1905                                                    | CUSIP: 3140KMDK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21907 | PA      | $18448.76      | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2051#BR2644                                                    | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19176 | PA      | $16142.80      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#BR4722                                                    | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19913 | PA      | $16763.19      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#BR4756                                                    | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25408 | PA      | $21389.18      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#BR5487                                                    | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16481 | PA      | $13874.10      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 05/01/2051#BR6340                                                    | CUSIP: 3140L5BJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56196 | PA      | $47307.32      | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#BU5836                                                    | CUSIP: 3140M7PW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113580 | PA      | $95508.84      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 01/01/2051#CA8440                                                    | CUSIP: 3140QGLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58279 | PA      | $49079.01      | 0.00%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#FM6343                                                    | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124750 | PA      | $105018.03     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2051#FM9080                                                    | CUSIP: 3140XDCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123375 | PA      | $103744.96     | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                    | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603000 | PA      | $602214.95     | 0.01%             | 2041-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                    | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2500869.50    | 0.06%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                          | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                         | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1346092 | PA      | $1333803.74    | 0.03%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                      | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                      | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     367000 | PA      | $367728.05     | 0.01%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 10/01/2054#SD8469                                                  | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     958745 | PA      | $976214.21     | 0.02%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 10/01/2053#CB7297                                                  | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3794101 | PA      | $3932297.07    | 0.09%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2% 11/25/2044                                      | CUSIP: 3136AST63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3686019 | PA      | $3496132.80    | 0.08%             | 2044-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1% 05/25/2041                                      | CUSIP: 3136BHKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3498628 | PA      | $3157512.17    | 0.07%             | 2041-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 04/01/2048#SD4470                                                  | CUSIP: 3132E06F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16747853 | PA      | $15991463.31   | 0.36%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 05/01/2052#CB3588                                                  | CUSIP: 3140QN7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2762974 | PA      | $2636462.20    | 0.06%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2052#FS0191                                                  | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377034 | PA      | $332505.20     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2051#FS4269                                                    | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53240 | PA      | $44818.77      | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       1315 | PA      | $1315.15       | 0.00%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 4.62% 11/15/2028                    | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5686705 | PA      | $5695214.89    | 0.13%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 11/01/2054#RJ2748                                                    | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     712990 | PA      | $745000.50     | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 07/01/2052#FS5486                                                  | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2566271 | PA      | $2445558.11    | 0.05%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 5.5% 07/01/2053#RA9373                                                  | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6277863 | PA      | $6481023.33    | 0.15%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 11/01/2050#FS7615                                                    | CUSIP: 3140XPN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3625474 | PA      | $3576860.41    | 0.08%             | 2050-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 06/01/2052#FS9376                                                    | CUSIP: 3140XRM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9731860 | PA      | $8909596.23    | 0.20%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                              | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                    | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6800000 | PA      | $6872844.32    | 0.15%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                     | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                     | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      39869 | PA      | $40264.57      | 0.00%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 10/01/2054#CB9365                                                  | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4569611 | PA      | $4678576.93    | 0.11%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 3.753 10/31/29                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   18700000 | NC      | $577905.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 3.753 10/31/29                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   18700000 | NC      | $536281.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#CB9500                                                    | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     805284 | PA      | $843199.75     | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#CB9501                                                    | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2043784 | PA      | $2139373.24    | 0.05%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#CB9502                                                    | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5498052 | PA      | $5748328.14    | 0.13%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A2 SOFR30A+75 04/15/2029 144A                        | CUSIP: 34528QJB1<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    2400000 | PA      | $2409840.00    | 0.05%             | 2029-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34870000 | PA      | $35198268.27   | 0.79%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 11/20/2051#785762                                                    | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1414898 | PA      | $1246301.29    | 0.03%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 12/20/2051#785789                                                    | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1589324 | PA      | $1399943.12    | 0.03%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 06/01/2054#SD5521                                                  | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5735340 | PA      | $6091911.88    | 0.14%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 09/01/2054#SD6620                                                  | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6871677 | PA      | $7298895.90    | 0.16%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C60 VAR 08/15/2054                     | CUSIP: 95003DBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25751000 | PA      | $1376805.54    | 0.03%             | 2054-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2053#SD6527                                                    | CUSIP: 3132DUHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15443143 | PA      | $15168503.87   | 0.34%             | 2053-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885802 12/15/56 B                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    1400000 | NC      | $186246.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 07/01/2049#SD3738                                                  | CUSIP: 3132E0EK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6648623 | PA      | $5913272.97    | 0.13%             | 2049-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2049#FS4660                                                  | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16232420 | PA      | $15499308.67   | 0.35%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 10/01/2054#CB9320                                                  | CUSIP: 3140QVLA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3720979 | PA      | $3851570.11    | 0.09%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 09/01/2054#RJ2412                                                  | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3699388 | PA      | $3822284.45    | 0.09%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2052#SD6932                                                    | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8441904 | PA      | $7082900.71    | 0.16%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 6% 10/01/2054#BU5135                                               | CUSIP: 3140M6V59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5127355 | PA      | $5352745.19    | 0.12%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 11/01/2054#QJ8006                                                  | CUSIP: 3133CY3P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6259705 | PA      | $6471569.27    | 0.15%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                    | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4762776 | PA      | $4764264.01    | 0.11%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 12/01/2054#CB9668                                                  | CUSIP: 3140QVW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2747209 | PA      | $2811859.46    | 0.06%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY562346 11/18/64 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    1098490 | NC      | $-468.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 12/01/2054#QX0359                                                    | CUSIP: 31425UMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4078977 | PA      | $4258282.09    | 0.10%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                    | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A  | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9227000 | PA      | $9238541.13    | 0.21%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 06/01/2036#FS9109                                                  | CUSIP: 3140XRDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8543058 | PA      | $7814721.52    | 0.18%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 10/01/2036#FS9362                                                  | CUSIP: 3140XRML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10503161 | PA      | $9630691.61    | 0.22%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 03/01/2037#FS9361                                                  | CUSIP: 3140XRMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4292206 | PA      | $3919568.54    | 0.09%             | 2037-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 5.5% 09/01/2054#BU5051                                             | CUSIP: 3140M6TH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45534 | PA      | $46364.05      | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 08/01/2051#FS2041                                                    | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225382 | PA      | $188465.06     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 4383 BD 2% 09/15/2044      | CUSIP: 3137BEAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    5550800 | PA      | $5037553.71    | 0.11%             | 2044-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                    | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                     | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10254878 | PA      | $10465645.58   | 0.23%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2% 08/01/2036#RC2193                                                    | CUSIP: 3133L8NJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1628016 | PA      | $1528022.39    | 0.03%             | 2036-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 07/01/2036#FM7881                                                    | CUSIP: 3140XBXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1086190 | PA      | $1019476.23    | 0.02%             | 2036-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 04/20/2051#785433                                                    | CUSIP: 3622AA4S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62799 | PA      | $55374.99      | 0.00%             | 2051-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 11/20/2054#MB0024                                                    | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32998551 | PA      | $32671449.84   | 0.73%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 07/20/2054#MA9844                                                      | CUSIP: 36179Y5D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185079 | PA      | $156834.98     | 0.00%             | 2054-07-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 11/20/2054#MB0025                                                      | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1523141 | PA      | $1530428.33    | 0.03%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 06/20/2054#MA9772                                                      | CUSIP: 36179Y2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164187 | PA      | $139130.79     | 0.00%             | 2054-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2% 10/20/2052#MA9958                                                      | CUSIP: 36180AB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1216831 | PA      | $1031134.66    | 0.02%             | 2052-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 08/20/2053#MB0019                                                      | CUSIP: 3618N5AV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187972 | PA      | $159256.84     | 0.00%             | 2053-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#RA3524                                                    | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455542 | PA      | $383488.37     | 0.01%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2052#FS7943                                                  | CUSIP: 3140XPZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289924 | PA      | $254958.22     | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2052#FS9743                                                  | CUSIP: 3140XRZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3884524 | PA      | $3416043.34    | 0.08%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS8336                                                    | CUSIP: 3140XQHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731278 | PA      | $611497.55     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/20/2054#MB0092                                                    | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2105954 | PA      | $2137612.54    | 0.05%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS9607                                                    | CUSIP: 3140XRU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1114486 | PA      | $940644.77     | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 07/01/2039#SB1215                                                    | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4123077 | PA      | $4270718.87    | 0.10%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 12/20/2054#MB0093                                                      | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4303411 | PA      | $4401528.97    | 0.10%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 4.01 12/20/29                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    7400000 | NC      | $273711.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 4.01 12/20/29                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    7400000 | NC      | $187157.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#FM6270                                                    | CUSIP: 3140X96G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465398 | PA      | $391785.79     | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#FM6416                                                    | CUSIP: 3140XADW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347712 | PA      | $293692.16     | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#SD2903                                                    | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9176755 | PA      | $7687982.74    | 0.17%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#FS9599                                                  | CUSIP: 3140XRUZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762782 | PA      | $675317.73     | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2052#FS9729                                                  | CUSIP: 3140XRY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1953168 | PA      | $1722495.43    | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.75% 10/25/2051           | CUSIP: 3137H3EQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    6579334 | PA      | $5451334.45    | 0.12%             | 2051-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.25% 09/25/2046                                   | CUSIP: 3136BMBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3504178 | PA      | $3293638.08    | 0.07%             | 2046-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2021-5181 TA 2.5% 06/25/2048                       | CUSIP: 3137H4UB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3832844 | PA      | $3511784.27    | 0.08%             | 2048-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2022-5188 GA 2% 01/25/2052                         | CUSIP: 3137H5JE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2406627 | PA      | $2231734.88    | 0.05%             | 2052-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                    | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     493470 | PA      | $420911.56     | 0.01%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                   | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5818879 | PA      | $5298781.51    | 0.12%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                  | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7069356 | PA      | $7470757.12    | 0.17%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 01/01/2055#CB9828                                                  | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6850010 | PA      | $7271600.27    | 0.16%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 05/01/2054#SD7570                                                    | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6524566 | PA      | $6833803.21    | 0.15%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CR CARD TR                                        | EVERGREEN CR CARD TR 5.24% 05/15/2029 144A                                        | CUSIP: 30023JCX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |    1200000 | PA      | $1214602.08    | 0.03%             | 2029-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                            | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                            | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5800000 | PA      | $5926264.26    | 0.13%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TR                         | SANTANDER DRIVE AUTO RECEIVABLES TR 4.74% 01/16/2029                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     994712 | PA      | $997244.50     | 0.02%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 06/01/2052#FS9613                                                  | CUSIP: 3140XRVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15850786 | PA      | $14018404.82   | 0.31%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#FS9614                                                  | CUSIP: 3140XRVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15696202 | PA      | $13866976.18   | 0.31%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 11/01/2054#SD6971                                                  | CUSIP: 3132DUW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8861528 | PA      | $9172530.18    | 0.21%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 10/01/2054#RJ2653                                                  | CUSIP: 3142GS5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9598610 | PA      | $9908484.52    | 0.22%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1                                      | REACH ABS TRUST 2025-1 4.96% 08/16/2032 144A                                      | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8074217 | PA      | $8096082.75    | 0.18%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3100                                                    | CUSIP: 3140QNNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     893644 | PA      | $755368.12     | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2% 02/01/2052#FA0353                                               | CUSIP: 3140W0MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1279803 | PA      | $1080175.49    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARINGS EQUIPMENT FINANCE LLC 2025-A                        | BARINGS EQUIPMENT FINANCE LLC 2025-A 4.64% 10/13/2028 144A                        | CUSIP: 06764MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15232354 | PA      | $15321214.91   | 0.34%             | 2028-10-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A              | SECURITIZED TERM AUTO RECEIVABLES TRUST 2025-A 5.67% 07/25/2031 144A              | CUSIP: 81378RAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |     302162 | PA      | $305393.31     | 0.01%             | 2031-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                          | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                   | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5616000 | PA      | $5608409.41    | 0.13%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2051#SD2068                                                    | CUSIP: 3132DPJM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35150 | PA      | $29425.28      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 06/01/2052#SD4958                                                    | CUSIP: 3132DSQK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594865 | PA      | $497428.60     | 0.01%             | 2052-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#QB3199                                                    | CUSIP: 3133A9RU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21299 | PA      | $17843.71      | 0.00%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 10/01/2050#QB3878                                                    | CUSIP: 3133AAJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30288 | PA      | $25355.43      | 0.00%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2050#QB5148                                                    | CUSIP: 3133ABWH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67003 | PA      | $56091.35      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2050#RA4055                                                    | CUSIP: 3133KKQG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44344 | PA      | $37122.53      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#FS1334                                                    | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21630 | PA      | $18087.40      | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 09/01/2051#FS5803                                                    | CUSIP: 3140XMNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422560 | PA      | $353346.31     | 0.01%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2% 11/01/2051#FA0376                                               | CUSIP: 3140W0M28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5445305 | PA      | $4558493.61    | 0.10%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                      | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                       | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     355415 | PA      | $358548.02     | 0.01%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 04/01/2052#CB3233                                                    | CUSIP: 3140QNSX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3826888 | PA      | $3502351.08    | 0.08%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 3% 06/01/2052#FA0115                                               | CUSIP: 3140W0DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6054677 | PA      | $5571487.09    | 0.13%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    1000000 | NC      | $80388.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     700000 | NC      | $56272.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP 12/17/57 B                                                            | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1300000 | NC      | $-1635.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2052#FS8195                                                    | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13741831 | PA      | $11490981.26   | 0.26%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS9872                                                    | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520936 | PA      | $439679.19     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 12/01/2036#FS9575                                                  | CUSIP: 3140XRT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903195 | PA      | $828168.89     | 0.02%             | 2036-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 11/01/2035#QN4212                                                  | CUSIP: 3133GAVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     407456 | PA      | $373609.90     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 05/01/2036#FM7544                                                  | CUSIP: 3140XBL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77730 | PA      | $71395.09      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     500000 | NC      | $40194.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                       | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                       | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     771824 | PA      | $776410.96     | 0.02%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2048#FS9071                                                  | CUSIP: 3140XRCH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13351618 | PA      | $12857095.16   | 0.29%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                    | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2756682 | PA      | $2776290.44    | 0.06%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                             | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4219610 | PA      | $4253700.70    | 0.10%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                             | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2257462 | PA      | $2269435.88    | 0.05%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                 | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2786755 | PA      | $2809905.61    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                 | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3602654 | PA      | $3640891.89    | 0.08%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                       | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4168451 | PA      | $4211364.13    | 0.09%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 02/01/2055#CB9985                                                    | CUSIP: 3140QWCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3553367 | PA      | $3730665.06    | 0.08%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 02/01/2055#CB9989                                                    | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9662665 | PA      | $10099497.30   | 0.23%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CZ030008 12/17/57 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     400000 | NC      | $32155.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2025-1                                | OPORTUN FUNDING TRUST 2025-1 A 4.96% 08/16/2032 144A                              | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1430270 | PA      | $1431562.01    | 0.03%             | 2032-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                             | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1430224 | PA      | $1449208.59    | 0.03%             | 2054-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2050#SD0516                                                    | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8315338 | PA      | $7599766.70    | 0.17%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                             | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    8728344 | PA      | $8834783.16    | 0.20%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/01/2052#SD7328                                                    | CUSIP: 3132DVD93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5716989 | PA      | $4807370.11    | 0.11%             | 2052-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#QB3577                                                    | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     507595 | PA      | $424929.36     | 0.01%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                             | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7498319 | PA      | $7552120.05    | 0.17%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                 | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2331974 | PA      | $2350976.72    | 0.05%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                             | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5230806 | PA      | $5274709.06    | 0.12%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2051#QC7480                                                    | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322267 | PA      | $318751.09     | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2051#QD1244                                                    | CUSIP: 3133AXLZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284292 | PA      | $281190.70     | 0.01%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2052#QD6619                                                    | CUSIP: 3133B4K87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137145 | PA      | $135383.52     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2052#QD7533                                                    | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127158 | PA      | $125731.15     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2052#QE0889                                                    | CUSIP: 3133B97A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284607 | PA      | $280951.27     | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2052#QE0547                                                    | CUSIP: 3133B9TC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209944 | PA      | $207246.55     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/01/2052#QE5393                                                    | CUSIP: 3133BE7E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165880 | PA      | $164018.36     | 0.00%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 07/01/2052#QE5493                                                    | CUSIP: 3133BFC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256276 | PA      | $253400.12     | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 08/01/2052#QE8192                                                    | CUSIP: 3133BJC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157872 | PA      | $156050.79     | 0.00%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2051#BT0253                                                    | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93517 | PA      | $92497.06      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 11/01/2051#BU3339                                                    | CUSIP: 3140M4V96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155058 | PA      | $153366.37     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 04/01/2052#BV3829                                                    | CUSIP: 3140MHHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164659 | PA      | $162811.22     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 07/01/2052#BW3397                                                    | CUSIP: 3140MUX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164280 | PA      | $162436.10     | 0.00%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2051#CB1703                                                    | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024486 | PA      | $1013310.12    | 0.02%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 01/01/2052#CB2695                                                    | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020224 | PA      | $1008775.86    | 0.02%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 11/01/2051#CB2189                                                    | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1358045 | PA      | $1343229.92    | 0.03%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 12/01/2051#CB2460                                                    | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791984 | PA      | $783096.42     | 0.02%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 02/01/2052#CB2924                                                    | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683832 | PA      | $676158.67     | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2052#CB4669                                                    | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1727765 | PA      | $1707837.39    | 0.04%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                             | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5669378 | PA      | $5003356.68    | 0.11%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.75% 02/15/2045                                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20990000 | PA      | $21514750.00   | 0.48%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | USTN TII 2.375% 02/15/2055                                                        | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14000000 | PA      | $14176436.22   | 0.32%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX Trust 2025-ROIC VAR 03/15/2030 144A                                            | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7625610 | PA      | $7616078.32    | 0.17%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635386 | PA      | $633797.72     | 0.01%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                   | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     895982 | PA      | $893746.99     | 0.02%             | 2030-03-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+110 02/25/2055                                 | CUSIP: 3136BURK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   12156311 | PA      | $12221233.45   | 0.27%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 04/01/2039#SB1117                                                    | CUSIP: 3132CXG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1752073 | PA      | $1819192.01    | 0.04%             | 2039-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 09/01/2039#SB1399                                                    | CUSIP: 3132CXRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1074027 | PA      | $1114164.90    | 0.03%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 6% 03/01/2039#FS7558                                                    | CUSIP: 3140XPMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3189179 | PA      | $3317331.36    | 0.07%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF 2% 09/25/2045                                          | CUSIP: 3136BBB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     487122 | PA      | $456565.71     | 0.01%             | 2045-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF 2% 05/25/2043                                          | CUSIP: 3136BBQT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     946082 | PA      | $891956.98     | 0.02%             | 2043-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                              | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6632559 | PA      | $6932405.38    | 0.16%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-1                                                 | SCLP 2025-1 4.8% 02/27/2034 144A                                                  | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5239411 | PA      | $5265959.16    | 0.12%             | 2034-02-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 01/01/2055#SL0307                                                  | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15556301 | PA      | $16084213.27   | 0.36%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                 | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2808495 | PA      | $2835025.69    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                 | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                 | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5393633 | PA      | $5403376.99    | 0.12%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                 | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                 | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1702229 | PA      | $1705056.44    | 0.04%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ030007 12/17/57 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1200000 | NC      | $192306.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     403653 | PA      | $405018.93     | 0.01%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5376813 | PA      | $5393395.18    | 0.12%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU 25-12 CTF SOFR30A+140 03/25/2055                           | CUSIP: 3136BVFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    9331971 | PA      | $9422170.44    | 0.21%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                      | CCG RECEIVABLES TRUST. 4.69% 10/14/2032 144A                                      | CUSIP: 12515XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1015668.40    | 0.02%             | 2032-10-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1             | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2025-1 4.8% 12/11/2037 144A              | CUSIP: 36271NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $512352.70     | 0.01%             | 2037-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.7% 01/17/2034 144A                                 | CUSIP: 04033CAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1100000 | PA      | $1119364.95    | 0.03%             | 2034-01-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.68% 05/15/2030             | CUSIP: 98164PAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2750000 | PA      | $2783201.58    | 0.06%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                            | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     880337 | PA      | $932867.19     | 0.02%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                            | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     252513 | PA      | $269474.40     | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                            | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     777018 | PA      | $825326.37     | 0.02%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                            | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                            | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1226000 | PA      | $1237684.03    | 0.03%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 03/01/2055#CC0116                                                    | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7512213 | PA      | $7858869.96    | 0.18%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 03/01/2055#CC0136                                                  | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2992516 | PA      | $3171082.16    | 0.07%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST               | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A               | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3319286 | PA      | $3371037.96    | 0.08%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 5.5% 03/20/2054#787292                                                    | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3382829 | PA      | $3488917.21    | 0.08%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/20/2054#787741                                                    | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3488580 | PA      | $3604526.30    | 0.08%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 01/20/2055#787767                                                    | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2868463 | PA      | $2956627.97    | 0.07%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                         | CARVANA AUTO RECEIVABLES TR 2025-P1 4.5% 06/12/2028                               | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     474302 | PA      | $474675.66     | 0.01%             | 2028-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                         | CARVANA AUTO RECEIVABLES TR 2025-P1 4.98% 05/12/2031                              | CUSIP: 14689MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2800000 | PA      | $2892213.52    | 0.06%             | 2031-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 09/01/2054#SD6617                                                  | CUSIP: 3132DUK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12109134 | PA      | $12884675.21   | 0.29%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 02/01/2055#RJ3572                                                  | CUSIP: 3142GT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1677868 | PA      | $1786377.23    | 0.04%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 11/01/2054#RJ2828                                                  | CUSIP: 3142GTEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     628247 | PA      | $668680.25     | 0.02%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 01/01/2055#RJ3341                                                  | CUSIP: 3142GTWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1504578 | PA      | $1601410.29    | 0.04%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 02/01/2054#SD5078                                                  | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23546248 | PA      | $24861139.17   | 0.56%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2054#SD4623                                                  | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5452182 | PA      | $5760055.44    | 0.13%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CZ030007 12/17/57 B                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $32051.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                         | DEXT ABS 2025-1 LLC 4.59% 08/16/2027 144A                                         | CUSIP: 252154AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     976760 | PA      | $978970.93     | 0.02%             | 2027-08-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 4.57% 01/18/2040 144A                            | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    9523616 | PA      | $9621844.95    | 0.22%             | 2040-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 09/01/2039#SB1239                                                    | CUSIP: 3132CXLU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6939543 | PA      | $7201050.26    | 0.16%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-1 LLC                                         | DEXT ABS 2025-1 LLC 4.77% 08/15/2035 144A                                         | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2340000 | PA      | $2366072.28    | 0.05%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CZ030007 12/17/57 B                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     700000 | NC      | $112178.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1000000 | NC      | $80388.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 4.74% 01/16/2029                       | CUSIP: 30168JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5602049 | PA      | $5616986.53    | 0.13%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16                                              | CFMT 2025-HB16 A VAR 03/25/2035 144A                                              | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     318546 | PA      | $313570.20     | 0.01%             | 2035-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                           | CIM TRUST 2025-R1 5% 02/25/2099 144A                                              | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6256951 | PA      | $6240260.80    | 0.14%             | 2099-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TR 2025-A                         | CARMAX SELECT RECEIVABLES TR 2025-A 4.77% 09/17/2029                              | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1425000 | PA      | $1439519.47    | 0.03%             | 2029-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 12/01/2053#SD4621                                                  | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1859988 | PA      | $1969231.27    | 0.04%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2054#SD4622                                                  | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4843087 | PA      | $5116641.90    | 0.11%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 12/01/2053#FS6525                                                  | CUSIP: 3140XNHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2009414 | PA      | $2127433.74    | 0.05%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 6.5% 07/01/2054#FA0028                                             | CUSIP: 3140W0A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2682293 | PA      | $2833798.77    | 0.06%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 08/01/2054#FS8620                                                  | CUSIP: 3140XQSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3814231 | PA      | $4038254.03    | 0.09%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2051#CB0443                                                  | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22377069 | PA      | $19748280.70   | 0.44%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 4.79% 03/15/2029 144A                            | CUSIP: 361886DZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2014028.00    | 0.05%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 04/01/2036#MA4321                                                  | CUSIP: 31418DYT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6266481 | PA      | $5700901.42    | 0.13%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FA0903                                                  | CUSIP: 3140W1AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16868099 | PA      | $15002454.80   | 0.34%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 05/01/2052#SL0225                                                  | CUSIP: 31427MHB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15400857 | PA      | $13553110.19   | 0.30%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                         | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                            | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5380000 | PA      | $5677638.82    | 0.13%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                         | BMO 2025-5C9 XA MTG TR VAR 12/15/2057                                             | CUSIP: 096933AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12994552 | PA      | $342509.10     | 0.01%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 04/01/2052#SL0413                                                  | CUSIP: 31427MN72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5449094 | PA      | $4805545.85    | 0.11%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 01/01/2052#SD1427                                                    | CUSIP: 3132DNSQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20469083 | PA      | $18634066.34   | 0.42%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2                                              | PRET 2025-RPL2 A1 4% 08/25/2064 144A                                              | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13964196 | PA      | $13720076.82   | 0.31%             | 2064-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIM 2025-NR1                                                | CIM 2025-NR1 5% 06/25/2064 144A                                                   | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4119986 | PA      | $4055202.38    | 0.09%             | 2064-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP REC 3.94 03/21/30                                                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   33200000 | NC      | $1161905.05    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP PAY 3.94 03/21/30                                                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   33200000 | NC      | $921305.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2051#FM9068                                                  | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1538018 | PA      | $1347724.10    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2036#FS4058                                                  | CUSIP: 3140XKQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7889261 | PA      | $7548509.21    | 0.17%             | 2036-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 21-13 BE 1.25% 02/25/2050                          | CUSIP: 3136BFPS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   75673685 | PA      | $60804827.37   | 1.36%             | 2050-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FA0995                                                    | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10292713 | PA      | $8655059.81    | 0.19%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2% 03/01/2052#                                                     | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18694972 | PA      | $15632819.88   | 0.35%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-1                                       | TOWD PT MTG TR 2018-1 3.25% 01/25/2058 144A                                       | CUSIP: 89176EAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2466711 | PA      | $2425664.44    | 0.05%             | 2058-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                             | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12511956 | PA      | $11002990.51   | 0.25%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2.5% 04/01/2052#FA0351                                             | CUSIP: 3140W0L94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15874228 | PA      | $13994491.05   | 0.31%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#AS7110                                                  | CUSIP: 3138WG3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3665473 | PA      | $3573252.60    | 0.08%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#AS7111                                                  | CUSIP: 3138WG3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4125472 | PA      | $4020299.74    | 0.09%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#AS7126                                                  | CUSIP: 3138WG4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4237301 | PA      | $4132137.31    | 0.09%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#AS7140                                                  | CUSIP: 3138WG5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3597775 | PA      | $3506100.14    | 0.08%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#BC8289                                                  | CUSIP: 3140F4F76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2972916 | PA      | $2899040.14    | 0.07%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#AS7145                                                  | CUSIP: 3138WG5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3737496 | PA      | $3644768.45    | 0.08%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 04/01/2031#AS6933                                                  | CUSIP: 3138WGV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3306448 | PA      | $3224404.54    | 0.07%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 06/01/2031#AS7347                                                  | CUSIP: 3138WHEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5326291 | PA      | $5190554.53    | 0.12%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 06/01/2031#AS7325                                                  | CUSIP: 3138WHD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3378374 | PA      | $3292268.75    | 0.07%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 06/01/2031#AS7346                                                  | CUSIP: 3138WHEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3288769 | PA      | $3207168.19    | 0.07%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1345000 | NC      | $178929.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 XB CSTR 04/15/2058                                               | CUSIP: 06604MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   74200000 | PA      | $952809.62     | 0.02%             | 2058-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 CSTR 04/15/2058                                                  | CUSIP: 06604MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29758753 | PA      | $1087188.44    | 0.02%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 04/01/2055#CC0241                                                  | CUSIP: 3140Y6HT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56744503 | PA      | $58594135.85   | 1.32%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 04/01/2055#CC0224                                                    | CUSIP: 3140Y6HA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14236292 | PA      | $14510763.32   | 0.33%             | 2055-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 04/01/2055#CC0225                                                    | CUSIP: 3140Y6HB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18256814 | PA      | $18591684.58   | 0.42%             | 2055-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 5% 07/01/2038#SB0894                                                    | CUSIP: 3132CW7F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6450186 | PA      | $6599448.26    | 0.15%             | 2038-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                             | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    8157575 | PA      | $8217373.19    | 0.18%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                   | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     161739 | PA      | $162147.97     | 0.00%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                   | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     325000 | PA      | $328310.68     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2052#CB3109                                                  | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3062805 | PA      | $2694381.83    | 0.06%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030007 12/17/57 B                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     700000 | NC      | $112178.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ030005 12/17/57 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    7400000 | NC      | $-9311.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 02/01/2055#SL0430                                                    | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16031662 | PA      | $16781475.73   | 0.38%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 10/01/2050#FS1578                                                    | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17913393 | PA      | $17622812.56   | 0.40%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 01/01/2055#SL0002                                                  | CUSIP: 31427MAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7159572 | PA      | $7388469.40    | 0.17%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 5.5% 02/01/2055#FA0629                                             | CUSIP: 3140W0VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10222187 | PA      | $10536300.21   | 0.24%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 06/01/2054#RJ1709                                                    | CUSIP: 3142GR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11071327 | PA      | $11561463.36   | 0.26%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 5.5% 04/01/2055#SL1111                                                  | CUSIP: 31427NGV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7375333 | PA      | $7618042.81    | 0.17%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C10 MORTGAGE TRUST                                | BMO 2025-5C10 MORTGAGE TRUST 5.5784% 05/15/2058                                   | CUSIP: 05615BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $4097659.02    | 0.09%             | 2058-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF 54 DA 2% 06/25/2044                                    | CUSIP: 3136BBGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    6887547 | PA      | $6618026.18    | 0.15%             | 2044-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4994 TA 2% 01/25/2044                              | CUSIP: 3137FUFC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     789118 | PA      | $761435.93     | 0.02%             | 2044-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ030007 12/17/57 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $32051.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5517 HF SOFR30A+135 03/25/2055                     | CUSIP: 3137HKGX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   20318627 | PA      | $20479798.40   | 0.46%             | 2055-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 07/01/2050#CA6328                                                  | CUSIP: 3140QEA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150793 | PA      | $133502.78     | 0.00%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 08/01/2050#CA6709                                                  | CUSIP: 3140QEN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49779643 | PA      | $44071690.47   | 0.99%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                 | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4710404 | PA      | $4772956.52    | 0.11%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                             | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2072624 | PA      | $2081082.54    | 0.05%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2765244 | PA      | $2781071.50    | 0.06%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                      | AFFIRM ASSET SECURITIZATION TR 2025-X1 5.19% 04/15/2030 144A                      | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     800000 | PA      | $801565.60     | 0.02%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 05/01/2055#CC0404                                                    | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5329157 | PA      | $5575075.20    | 0.13%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2052#CB3114                                                    | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13552511 | PA      | $12445550.31   | 0.28%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 04/01/2052#CB3239                                                    | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11542342 | PA      | $10621212.20   | 0.24%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                      | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                      | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2700000 | PA      | $2719362.78    | 0.06%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS 2025-4                                                | VERUS 2025-4 A1 5.448% 05/25/2070 144A                                            | CUSIP: 92540UAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12364004 | PA      | $12492746.79   | 0.28%             | 2070-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                       | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     472742 | PA      | $478415.45     | 0.01%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                             | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1419769 | PA      | $1440514.60    | 0.03%             | 2053-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 12/01/2052#RA8306                                                    | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2448922 | PA      | $2559633.11    | 0.06%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2053#FS5067                                                    | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3826760 | PA      | $3996174.21    | 0.09%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FS8772                                                  | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992245 | PA      | $869477.54     | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ030007 12/17/57 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     800000 | NC      | $128204.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                  | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1558802 | PA      | $1560983.42    | 0.04%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                             | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   10610659 | PA      | $10738827.29   | 0.24%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4994 CA 2% 03/25/2044                              | CUSIP: 3137FUBJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     249188 | PA      | $240476.59     | 0.01%             | 2044-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                             | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                             | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     856599 | PA      | $858261.95     | 0.02%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                        | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                       | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7006237 | PA      | $7096154.31    | 0.16%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 12/20/2054#787773                                                      | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4734110 | PA      | $4778951.37    | 0.11%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                         | ALA TRUST 2025-OANA A VAR 06/15/2040 144A                                         | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17948000 | PA      | $18038045.12   | 0.40%             | 2040-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                   | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                  | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2400965 | PA      | $2431037.80    | 0.05%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                              | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1642080 | PA      | $1661710.86    | 0.04%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XA VAR 05/15/2058                  | CUSIP: 949931AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21312113 | PA      | $887873.28     | 0.02%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4              | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-5C4 XB CSTR 05/15/2058                 | CUSIP: 949931AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57043000 | PA      | $1243394.79    | 0.03%             | 2058-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CZ030005 12/17/57 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   24200000 | NC      | $-30450.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                             | BX TR 2025-TAIL A VAR 06/15/2035 144A                                             | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1026000 | PA      | $1026000.00    | 0.02%             | 2035-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                     | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    6792126 | PA      | $6770569.43    | 0.15%             | 2052-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                     | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   13654750 | PA      | $13611414.32   | 0.31%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                     | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   20141470 | PA      | $20077494.72   | 0.45%             | 2052-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                     | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    7713444 | PA      | $7686302.20    | 0.17%             | 2052-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                      | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    8119611 | PA      | $7761378.48    | 0.17%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 02/01/2037#SB1503                                                  | CUSIP: 3132CXU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8985139 | PA      | $8195245.40    | 0.18%             | 2037-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                           | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                          | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3072872 | PA      | $3104361.04    | 0.07%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                              | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                            | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4476156 | PA      | $4524658.39    | 0.10%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                       | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15900000 | PA      | $16355822.79   | 0.37%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                               | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                               | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3200000 | PA      | $3218748.16    | 0.07%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                              | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                      | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3442886 | PA      | $3395353.61    | 0.08%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                 | SCLP 2025-2 4.82% 06/25/2034 144A                                                 | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3842351 | PA      | $3862702.30    | 0.09%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                | WESTF 2025-A 5.582% 06/15/2050 144A                                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2152803 | PA      | $2204319.16    | 0.05%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     400000 | NC      | $32155.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1                     | ONEMAIN FINANCIAL ISSUANCE TRUST 2025-1 4.82% 07/14/2038 144A                     | CUSIP: 68270DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11900000 | PA      | $12126844.94   | 0.27%             | 2038-07-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C11 MTG TR                                        | BMO 2025-5C11 MTG TR CSTR 07/15/2058                                              | CUSIP: 096941AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39396000 | PA      | $988461.40     | 0.02%             | 2058-07-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1% 01/25/2051                                      | CUSIP: 3137F85N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1844326 | PA      | $1466916.58    | 0.03%             | 2051-01-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 07/01/2052#SD5726                                                    | CUSIP: 3132DTLF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6427556 | PA      | $5874436.74    | 0.13%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 06/01/2052#SD1042                                                    | CUSIP: 3132DNEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3152028 | PA      | $2907377.12    | 0.07%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 05/01/2051#FS3080                                                    | CUSIP: 3140XJM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23585719 | PA      | $21769809.64   | 0.49%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 06/01/2052#SD5351                                                    | CUSIP: 3132DS5L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9882479 | PA      | $9115431.47    | 0.20%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                          | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                         | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1958954 | PA      | $1968845.92    | 0.04%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2055#CC0736                                                  | CUSIP: 3140Y6ZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6523457 | PA      | $6941258.04    | 0.16%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2055#CC0718                                                    | CUSIP: 3140Y6YQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19065999 | PA      | $19971136.01   | 0.45%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                        | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                        | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5238000 | PA      | $5369683.84    | 0.12%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2051#FS9709                                                    | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5352437 | PA      | $4930306.68    | 0.11%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2055#CC0730                                                    | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11073634 | PA      | $11425923.87   | 0.26%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6% 04/01/2055#RJ4028                                              | CUSIP: 3142GUPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3771217 | PA      | $3942886.02    | 0.09%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 3% 12/01/2051#FA0145                                               | CUSIP: 3140W0ET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16803252 | PA      | $15352006.80   | 0.34%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2052#SL0592                                                  | CUSIP: 31427MUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11082183 | PA      | $10526262.56   | 0.24%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2               | GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2 4.93% 06/25/2060 144A               | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     508169 | PA      | $510247.77     | 0.01%             | 2060-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2025-CP1                                    | NYMT LOAN TRUST 2025-CP1 A1 3.75% 11/25/2069 144A                                 | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6018959 | PA      | $5894282.94    | 0.13%             | 2069-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                         | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                         | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1850061 | PA      | $1858528.98    | 0.04%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FA2169                                                    | CUSIP: 3140W2MT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10843594 | PA      | $9125068.93    | 0.20%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                   | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     305000 | PA      | $307449.82     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT VAR 06/25/2030                                     | CUSIP: 3137HMC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4700000 | PA      | $4797981.84    | 0.11%             | 2030-06-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT VAR 07/25/2030                                     | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3259523.52    | 0.07%             | 2030-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                          | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                           | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     492457 | PA      | $493626.25     | 0.01%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 07/01/2048#SD6922                                                  | CUSIP: 3132DUVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4995176 | PA      | $4771137.61    | 0.11%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2046#ZT2237                                                  | CUSIP: 3132AEPW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58147 | PA      | $55612.14      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2047#ZS4713                                                  | CUSIP: 3132A5GW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41385 | PA      | $39554.26      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2047#ZM3532                                                  | CUSIP: 3131XW4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322069 | PA      | $307624.06     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP REC 3.837 07/22/26                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   11720000 | NC      | $357266.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP PAY 3.837 07/22/26                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   11720000 | NC      | $81352.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                           | BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A                             | CUSIP: 08164RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45400000 | PA      | $666717.16     | 0.01%             | 2058-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                           | BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A                             | CUSIP: 08164RAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9700000 | PA      | $664750.70     | 0.01%             | 2058-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 04/01/2052#SL1958                                                  | CUSIP: 31427PE83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62717308 | PA      | $55349472.88   | 1.24%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#FM9695                                                  | CUSIP: 3140XDXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39308774 | PA      | $34666333.20   | 0.78%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 07/01/2051#FM8159                                                  | CUSIP: 3140XCB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22408882 | PA      | $19776356.25   | 0.44%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 09/01/2051#CB1547                                                  | CUSIP: 3140QLWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49077037 | PA      | $43280945.66   | 0.97%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 2.5% 04/01/2052#SL0916                                                  | CUSIP: 31427NAS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22307863 | PA      | $19687204.15   | 0.44%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 02/01/2052#FA2064                                                  | CUSIP: 3140W2JJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18229114 | PA      | $16087614.56   | 0.36%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 2% 03/01/2052#SL1485                                                    | CUSIP: 31427NUK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17457602 | PA      | $14690869.15   | 0.33%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                               | SCG 2025-FLWR 5.65% 08/15/2030 144A                                               | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11500000 | PA      | $11528684.45   | 0.26%             | 2042-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 09/01/2051#FM8747                                                    | CUSIP: 3140XCWH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19048135 | PA      | $17504199.92   | 0.39%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FA2214                                                  | CUSIP: 3140W2N80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14715453 | PA      | $12949938.97   | 0.29%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FA2409                                                  | CUSIP: 3140W2VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6729258 | PA      | $5921902.48    | 0.13%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2052#FA2410                                                  | CUSIP: 3140W2VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7227964 | PA      | $6378845.26    | 0.14%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FA2411                                                  | CUSIP: 3140W2VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5518809 | PA      | $4885998.03    | 0.11%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   25000000 | NC      | $-293692.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 02/01/2052#SD2298                                                    | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     973288 | PA      | $819646.46     | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 08/01/2050#BQ0233                                                    | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525661 | PA      | $440208.60     | 0.01%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS3863                                                    | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3227997 | PA      | $2718432.02    | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS9368                                                    | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2909276 | PA      | $2449114.71    | 0.05%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                               | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                               | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2510000 | PA      | $2516820.17    | 0.06%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.875% 08/15/2045                                     | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5440000 | PA      | $5658450.00    | 0.13%             | 2045-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                              | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                         | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2512000 | PA      | $2514086.22    | 0.06%             | 2040-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TR                                    | UPX HIL 2025-1 ISSUER TR 6.22% 01/25/2047 144A                                    | CUSIP: 916925AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $611134.44     | 0.01%             | 2047-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2053#FS9322                                                    | CUSIP: 3140XRLC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11185687 | PA      | $10975926.74   | 0.25%             | 2053-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY873248 04/17/65 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     784000 | NC      | $-131244.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 25-K761 A2 4.4% 06/25/2032                         | CUSIP: 3137HN4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $4097432.40    | 0.09%             | 2032-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT VAR 05/25/2030                                     | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4904511.84    | 0.11%             | 2030-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.87474%/VAR 03/25/2030                            | CUSIP: 3137HN4S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20782344 | PA      | $20782329.19   | 0.47%             | 2030-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 3.565 09/15/26                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   25610000 | NC      | $482335.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 3.565 09/15/26                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   25610000 | NC      | $480731.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 05/01/2054#FS7963                                                  | CUSIP: 3140XPZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1099694 | PA      | $1161808.53    | 0.03%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 02/01/2054#FS7160                                                  | CUSIP: 3140XN5W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1575624 | PA      | $1666147.00    | 0.04%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 04/01/2054#SD5901                                                  | CUSIP: 3132DTRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     825397 | PA      | $872018.01     | 0.02%             | 2054-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HAVN TR 2025-MOB                                            | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                     | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605000 | PA      | $603865.63     | 0.01%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US ULTRA BOND CBT FUT JUN26 WNM6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        365 | NC      | $480841.97     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 4.389% 04/25/2035                                  | CUSIP: 3136BXNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5800000 | PA      | $5873908.24    | 0.13%             | 2035-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.887 09/17/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   24220000 | NC      | $744337.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.887 09/17/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   24220000 | NC      | $796937.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 10YR NOTE FUT (CBT)JUN26 TYM6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -298 | NC      | $-134406.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.421% 05/25/2030                                  | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5200000 | PA      | $5322587.40    | 0.12%             | 2030-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 2YR NOTE (CBT) FUT JUN26 TUM6                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       3304 | NC      | $980058.21     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                        | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                          | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5605000 | PA      | $5612006.25    | 0.13%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                        | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                 | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     995000 | PA      | $996863.93     | 0.02%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    5200000 | NC      | $-61088.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 08/01/2055#RJ4643                                                    | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9632277 | PA      | $10083538.78   | 0.23%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 08/01/2055#FA2563                                                    | CUSIP: 3140W2Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3653798 | PA      | $3817729.60    | 0.09%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 03/01/2056 #TBA                                                        | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  256600000 | PA      | $217347872.34  | 4.88%             | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 03/01/2056 #TBA                                                        | CUSIP: 21H020634<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -170425000 | PA      | $-144355070.71 | -3.24%            | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 03/01/2056 #TBA                                                      | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  166050000 | PA      | $146495985.21  | 3.29%             | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 03/01/2056 #TBA                                                      | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -70525000 | PA      | $-62219990.11  | -1.40%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 03/01/2056 #TBA                                                      | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -33100000 | PA      | $-32659280.12  | -0.73%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 03/01/2056 #TBA                                                      | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33100000 | PA      | $32659280.12   | 0.73%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 03/01/2056 #TBA                                                        | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92650000 | PA      | $92821106.02   | 2.08%             | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 03/01/2056 #TBA                                                        | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -92650000 | PA      | $-92821106.02  | -2.08%            | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 03/01/2056 #TBA                                                      | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -283425000 | PA      | $-287074351.96 | -6.44%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 03/01/2056 #TBA                                                      | CUSIP: 21H052637<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  394225000 | PA      | $399301001.68  | 8.96%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 03/01/2056 #TBA                                                        | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  474125000 | PA      | $483742815.28  | 10.86%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 03/01/2056 #TBA                                                        | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -474125000 | PA      | $-483742815.28 | -10.86%           | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6.5% 03/01/2056 #TBA                                                      | CUSIP: 21H062636<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -29800000 | PA      | $-30840559.38  | -0.69%            | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6.5% 03/01/2056 #TBA                                                      | CUSIP: 21H062636<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29800000 | PA      | $30840559.38   | 0.69%             | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 4.5% 03/01/2041 #TBA                                                    | CUSIP: 01F042434<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17425000 | PA      | $17493746.85   | 0.39%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 5% 03/01/2041 #TBA                                                      | CUSIP: 01F050437<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  200625000 | PA      | $203673557.06  | 4.57%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 5% 03/01/2041 #TBA                                                      | CUSIP: 01F050437<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -127375000 | PA      | $-129310501.34 | -2.90%            | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 03/01/2056 #TBA                                                      | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   61125000 | PA      | $50621530.61   | 1.14%             | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 03/01/2056 #TBA                                                      | CUSIP: 01F020638<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -71350000 | PA      | $-59089508.54  | -1.33%            | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3% 03/01/2056 #TBA                                                      | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -40000000 | PA      | $-36170312.00  | -0.81%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4% 03/01/2056 #TBA                                                      | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     550000 | PA      | $534595.71     | 0.01%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4% 03/01/2056 #TBA                                                      | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -550000 | PA      | $-534595.71    | -0.01%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 03/01/2056 #TBA                                                    | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -25900000 | PA      | $-25610647.79  | -0.57%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 03/01/2056 #TBA                                                    | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   25900000 | PA      | $25610647.79   | 0.57%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 03/01/2056 #TBA                                                      | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   28000000 | PA      | $28126873.60   | 0.63%             | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 03/01/2056 #TBA                                                      | CUSIP: 01F050635<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -28000000 | PA      | $-28126873.60  | -0.63%            | 2056-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5.5% 03/01/2056 #TBA                                                    | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  112100000 | PA      | $113904114.98  | 2.56%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5.5% 03/01/2056 #TBA                                                    | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -112100000 | PA      | $-113904114.98 | -2.56%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 03/01/2056 #TBA                                                      | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -213300000 | PA      | $-218790811.26 | -4.91%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 03/01/2056 #TBA                                                      | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  213300000 | PA      | $218790811.26  | 4.91%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 03/01/2056 #TBA                                                    | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17800000 | PA      | $-18484883.48  | -0.41%            | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 03/01/2056 #TBA                                                    | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17800000 | PA      | $18484883.48   | 0.41%             | 2056-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2025-2                         | DELL EQUIPMENT FINANCE TRUST 2025-2 4.1% 02/22/2028 144A                          | CUSIP: 24703VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15300000 | PA      | $15333652.35   | 0.34%             | 2028-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2025-2                         | DELL EQUIPMENT FINANCE TRUST 2025-2 4.12% 03/24/2031 144A                         | CUSIP: 24703VAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2920045.96    | 0.07%             | 2031-03-24      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT K548 A2 VAR 09/25/2030                             | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8700000 | PA      | $8883166.32    | 0.20%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA                    | INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A                      | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1637000 | PA      | $1670893.59    | 0.04%             | 2037-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                          | PRPM 2025-RCF5 LLC 4.839% 10/25/2055 144A                                         | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1103668 | PA      | $1105456.78    | 0.02%             | 2055-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-D                               | OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A                               | CUSIP: 68379HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6800000 | PA      | $6821160.24    | 0.15%             | 2033-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM19 TR                                           | OBX 2025-NQM19 TR VAR 10/25/2065 144A                                             | CUSIP: 67449LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3103442 | PA      | $3113222.76    | 0.07%             | 2065-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCKTL 2025-2                                                | RCKTL 2025-2 4.48% 11/25/2034 144A                                                | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1129244 | PA      | $1130378.65    | 0.03%             | 2034-11-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 08/01/2052#CB4354                                                    | CUSIP: 3140QPZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14557403 | PA      | $14842614.07   | 0.33%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+55 07/25/2052                              | CUSIP: 3137H7ZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     983417 | PA      | $975063.15     | 0.02%             | 2052-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+67 08/25/2052                              | CUSIP: 3137H8P62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2244638 | PA      | $2228038.98    | 0.05%             | 2052-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+70 09/25/2052                              | CUSIP: 3137H8V81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2414351 | PA      | $2385201.38    | 0.05%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+75 09/25/2052                              | CUSIP: 3137H8VP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3807987 | PA      | $3791062.36    | 0.09%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+65 09/25/2052                              | CUSIP: 3137H8WP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7864569 | PA      | $7813916.78    | 0.18%             | 2052-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A                      | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    2700000 | PA      | $2711551.14    | 0.06%             | 2040-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.874 10/28/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    6200000 | NC      | $196419.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.874 10/28/30                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    6200000 | NC      | $202706.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT VAR K549 A2 09/25/2030                             | CUSIP: 3137HNNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2656769.44    | 0.06%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 04/01/2056 #TBA                                                        | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  135325000 | PA      | $114640181.31  | 2.57%             | 2056-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 04/01/2056 #TBA                                                      | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70525000 | PA      | $62214482.10   | 1.40%             | 2056-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 04/01/2056 #TBA                                                      | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33100000 | PA      | $32611354.63   | 0.73%             | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 04/01/2056 #TBA                                                      | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -33100000 | PA      | $-32611354.63  | -0.73%            | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 04/01/2056 #TBA                                                        | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92650000 | PA      | $92849049.26   | 2.08%             | 2056-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 04/01/2056 #TBA                                                      | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  245525000 | PA      | $248427400.13  | 5.58%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 04/01/2056 #TBA                                                        | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -12175000 | PA      | $-12413414.50  | -0.28%            | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 04/01/2056 #TBA                                                        | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  181200000 | PA      | $184748312.76  | 4.15%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 15YR 5% 04/01/2041 #TBA                                                      | CUSIP: 01F050445<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  127375000 | PA      | $129235859.59  | 2.90%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 04/01/2056 #TBA                                                      | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2150000 | PA      | $1780720.73    | 0.04%             | 2056-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 04/01/2056 #TBA                                                    | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   25900000 | PA      | $25521619.13   | 0.57%             | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 04/01/2056 #TBA                                                    | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -25900000 | PA      | $-25521619.13  | -0.57%            | 2056-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIV- ABLES FDG LLC                  | GREATAMERICA LSNG REC FDS LLC 4.37% 05/15/2028 144A                               | CUSIP: 39154TCP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13400000 | PA      | $13459569.70   | 0.30%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 10/01/2036#FA2627                                                  | CUSIP: 3140W24M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6087189 | PA      | $5558715.41    | 0.12%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 11/01/2037#FA3000                                                  | CUSIP: 3140W3KN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3969541 | PA      | $3631118.12    | 0.08%             | 2037-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.36% 09/25/2032                                   | CUSIP: 3137HNTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10800000 | PA      | $11011293.36   | 0.25%             | 2032-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EART 2025-5A                                                | EART 2025-5A A3 4.44% 11/15/2029                                                  | CUSIP: 30166VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10600000 | PA      | $10646894.40   | 0.24%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 08/01/2055#SL2271                                                  | CUSIP: 31427PQZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7436997 | PA      | $7688708.36    | 0.17%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                     | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6750000 | PA      | $6738398.44    | 0.15%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 08/01/2054#DB7695                                                    | CUSIP: 3140AHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110882 | PA      | $119182.62     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 11/01/2053#QH4141                                                    | CUSIP: 3133CGS65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1007606 | PA      | $1075715.73    | 0.02%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 08/01/2054#SD6166                                                    | CUSIP: 3132DTZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3054941 | PA      | $3283636.16    | 0.07%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 06/01/2054#FS8247                                                    | CUSIP: 3140XQEV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2725860 | PA      | $2929068.78    | 0.07%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 08/01/2054#DC1886                                                    | CUSIP: 3140APCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147939 | PA      | $157950.48     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#SD4486                                                    | CUSIP: 3132E06X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1180756 | PA      | $1257894.81    | 0.03%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 11/01/2053#DA4061                                                    | CUSIP: 3140A4QP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194454 | PA      | $206051.37     | 0.00%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#DA5755                                                    | CUSIP: 3140A6MD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602932 | PA      | $636847.33     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7% 09/01/2043#QK1661                                                    | CUSIP: 3133D4Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100557 | PA      | $106167.63     | 0.00%             | 2043-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#DA7964                                                    | CUSIP: 3140A8Z62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140723 | PA      | $148894.30     | 0.00%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#DA5761                                                    | CUSIP: 3140A6MK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605498 | PA      | $639842.17     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#DA7191                                                    | CUSIP: 3140A77D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84062 | PA      | $88627.54      | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7% 07/01/2043#QK1658                                                    | CUSIP: 3133D4ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63642 | PA      | $67471.24      | 0.00%             | 2043-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 11/01/2053#DA5020                                                    | CUSIP: 3140A5SJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334349 | PA      | $353156.56     | 0.01%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 02/01/2054#FS6962                                                    | CUSIP: 3140XNWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2555631 | PA      | $2727580.76    | 0.06%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 04/01/2054#DB2710                                                    | CUSIP: 3140ACAL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71277 | PA      | $75286.57      | 0.00%             | 2054-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 08/01/2054#DC2009                                                    | CUSIP: 3140APGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99151 | PA      | $105302.64     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#CB7813                                                    | CUSIP: 3140QTVF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8975533 | PA      | $9587846.98    | 0.22%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 10/01/2053#BY6665                                                    | CUSIP: 3140NPMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275256 | PA      | $293814.78     | 0.01%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#FS6966                                                    | CUSIP: 3140XNW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4986382 | PA      | $5299284.66    | 0.12%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#DA8899                                                    | CUSIP: 3140YW3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101259 | PA      | $107518.29     | 0.00%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 08/01/2054#DB9573                                                    | CUSIP: 3140AKT70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154293 | PA      | $164083.60     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 01/01/2054#RJ0718                                                    | CUSIP: 3142GQYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5085109 | PA      | $5418906.99    | 0.12%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 02/01/2054#FS7546                                                    | CUSIP: 3140XPL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3491678 | PA      | $3719788.19    | 0.08%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#FS6965                                                    | CUSIP: 3140XNW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2386443 | PA      | $2537873.77    | 0.06%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 01/01/2054#SD4777                                                    | CUSIP: 3132DSJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2927092 | PA      | $3113744.59    | 0.07%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 11/01/2053#FS6420                                                    | CUSIP: 3140XND27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4690091 | PA      | $5005653.17    | 0.11%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 09/01/2053#FS5897                                                    | CUSIP: 3140XMRT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2843108 | PA      | $3022628.50    | 0.07%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 01/01/2054#SD4982                                                    | CUSIP: 3132DSRB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7571932 | PA      | $8052406.67    | 0.18%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 09/01/2054#CB9174                                                    | CUSIP: 3140QVFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2251240 | PA      | $2404996.42    | 0.05%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 7% 08/01/2054#BU4941                                               | CUSIP: 3140M6P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243436 | PA      | $259434.62     | 0.01%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 07/01/2054#DC0787                                                    | CUSIP: 3140AM2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102983 | PA      | $110305.74     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 08/01/2054#DB9800                                                    | CUSIP: 3140AK3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177383 | PA      | $190661.82     | 0.00%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#DA5760                                                    | CUSIP: 3140A6MJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329730 | PA      | $348860.51     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 10/01/2053#QH2619                                                    | CUSIP: 3133CE4C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122335 | PA      | $128836.53     | 0.00%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#DA5759                                                    | CUSIP: 3140A6MH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045816 | PA      | $1104351.10    | 0.02%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 11/01/2053#DA3194                                                    | CUSIP: 3140A3RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225275 | PA      | $238640.13     | 0.01%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 07/01/2054#QJ3375                                                    | CUSIP: 3133CTXC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99951 | PA      | $106545.98     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 12/01/2053#QH7580                                                    | CUSIP: 3133CLM52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387659 | PA      | $409465.91     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38         | BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC 25-5C38 VAR 11/15/2058 144A           | CUSIP: 05556RAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24896000 | PA      | $997174.43     | 0.02%             | 2058-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 08/20/2052#788182                                                    | CUSIP: 3622AD6T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15710162 | PA      | $14802256.09   | 0.33%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     800000 | NC      | $106426.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 01/01/2054#SD4983                                                    | CUSIP: 3132DSRC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4830861 | PA      | $5135514.43    | 0.12%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 06/01/2054#SD5670                                                    | CUSIP: 3132DTJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4474783 | PA      | $4775859.15    | 0.11%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 02/01/2054#SD5671                                                    | CUSIP: 3132DTJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2502630 | PA      | $2659673.87    | 0.06%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 08/01/2054#SD6167                                                    | CUSIP: 3132DTZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1969292 | PA      | $2103022.14    | 0.05%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 09/01/2054#SD6996                                                    | CUSIP: 3132DUXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2532730 | PA      | $2692454.36    | 0.06%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 01/01/2054#SD7218                                                    | CUSIP: 3132DVAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4700397 | PA      | $5008941.61    | 0.11%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 06/01/2054#SD7219                                                    | CUSIP: 3132DVAU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4405877 | PA      | $4686827.12    | 0.11%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 12/01/2053#QH7568                                                    | CUSIP: 3133CLMR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     548175 | PA      | $578856.50     | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7% 03/01/2054#QI3065                                                    | CUSIP: 3133W9MN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74447 | PA      | $79526.56      | 0.00%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 11/01/2053#DA3197                                                    | CUSIP: 3140A3RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304738 | PA      | $323303.48     | 0.01%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 11/01/2054#DC6582                                                    | CUSIP: 3140AUJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75151 | PA      | $80236.19      | 0.00%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 7% 07/01/2054#BU4763                                               | CUSIP: 3140M6JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146206 | PA      | $156693.85     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 7% 06/01/2054#BU4772                                               | CUSIP: 3140M6JS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159158 | PA      | $170115.80     | 0.00%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 09/01/2053#BX4447                                                    | CUSIP: 3140N85H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109154 | PA      | $115799.30     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 10/01/2053#CB7313                                                    | CUSIP: 3140QTDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1378521 | PA      | $1469009.73    | 0.03%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 09/01/2054#CB9172                                                    | CUSIP: 3140QVFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1182238 | PA      | $1266308.51    | 0.03%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 12/01/2053#FS6922                                                    | CUSIP: 3140XNVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2297166 | PA      | $2442931.70    | 0.05%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#FS6964                                                    | CUSIP: 3140XNW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2132118 | PA      | $2272074.67    | 0.05%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 01/01/2054#FS6771                                                    | CUSIP: 3140XNQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3768626 | PA      | $4006290.74    | 0.09%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 7% 09/01/2054#CB9173                                                    | CUSIP: 3140QVFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     806734 | PA      | $862841.00     | 0.02%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT 2025-3A                           | GREENSKY HOME IMPROVEMENT 2025-3A 4.52% 12/27/2060 144A                           | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2942379 | PA      | $2963267.44    | 0.07%             | 2060-12-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UPG HI 2025-2 ISSUER TR                                     | UPG HI 2025-2 ISSUER TR 5% 09/25/2047 144A                                        | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6264456 | PA      | $6311285.31    | 0.14%             | 2047-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SCMS 2025-BNC1                                              | SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A                                         | CUSIP: 78398LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6110000 | PA      | $6133953.03    | 0.14%             | 2057-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2025-K551 AS 4.54% 10/25/2030                      | CUSIP: 3137HNWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27295591 | PA      | $27284219.95   | 0.61%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT VAR 11/25/2030                                     | CUSIP: 3137HNWV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3044811.60    | 0.07%             | 2030-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 03/25/2029                              | CUSIP: 3137HCTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8773640 | PA      | $8758763.29    | 0.20%             | 2029-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $-2349.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                 | OCWEN LOAN INVESTMENT TRUST 25-HB2 A VAR 11/25/2038 144A                          | CUSIP: 68278FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     779171 | PA      | $755250.30     | 0.02%             | 2038-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 12/01/2055#SL3475                                                    | CUSIP: 31427Q2H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2949174 | PA      | $3091026.29    | 0.07%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 4.66% 01/20/2039 144A                                 | CUSIP: 588926AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4245000 | PA      | $4280576.07    | 0.10%             | 2039-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.5% MAC 03/18/28                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -633677000 | NC      | $-1601753.85   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV4.0% MAC 03/18/56                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   11340000 | NC      | $561508.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.75% MAC 03/18/33                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -14250000 | NC      | $-111881.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.5% MAC 03/18/30                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -94177000 | NC      | $-783168.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.5% MAC 03/18/29                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -322173000 | NC      | $-1963096.74   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT K763 A2 VAR 10/25/2032                             | CUSIP: 3137HPET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6800000 | PA      | $6863969.64    | 0.15%             | 2032-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-2 LLC                                         | DEXT ABS 2025-2 LLC 4.28% 04/17/2028 144A                                         | CUSIP: 252153AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1045000 | PA      | $1044888.60    | 0.02%             | 2028-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR19                                            | BANK5 2025-5YR19 XB VAR 12/15/2030                                                | CUSIP: 05494RBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12200000 | PA      | $348983.44     | 0.01%             | 2058-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE SECURITIZATION TRUST 2025-B                   | WILLIS ENGINE SECURITIZATION TRUST 2025-B A 0% 12/15/2050 144A                    | CUSIP: 970910AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4710683 | PA      | $4762389.99    | 0.11%             | 2050-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7               | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 A1FC VAR 10/26/2065 144A            | CUSIP: 64831YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3013338 | PA      | $3024275.14    | 0.07%             | 2065-10-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT VAR 10/25/2030                                     | CUSIP: 3137HPEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16296320 | PA      | $16296308.72   | 0.37%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                          | BMO MORTGAGE TRUST 5C13 A2 4.8342% 12/15/2058                                     | CUSIP: 09664JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7300000 | PA      | $7452950.33    | 0.17%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                          | BMO MORTGAGE TRUST 5.3161% 12/15/2058                                             | CUSIP: 09664JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4166118.80    | 0.09%             | 2058-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1                | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2026-1A A3 4.41% 07/16/2029 144A            | CUSIP: 96043BAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7600000 | PA      | $7613662.52    | 0.17%             | 2029-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 01/01/2056#CC1868                                                    | CUSIP: 3140Y8CE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7149798 | PA      | $7491461.00    | 0.17%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+54 10/25/2030                              | CUSIP: 3137HPU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6906336 | PA      | $6906330.72    | 0.16%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.5% 01/15/2029                                                         | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62310000 | PA      | $62499851.09   | 1.40%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     600000 | NC      | $-7048.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TR 2026-1A                                        | REACH ABS TR 2026-1A B 0% 02/15/2033 144A                                         | CUSIP: 75526XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3100000 | PA      | $3105956.03    | 0.07%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES COMMERCIAL MORTGAGE TRUST                              | ARES COMMERCIAL MORTGAGE TRUST 2026-GCP A TSFR1M+135 02/15/2043 144A              | CUSIP: 04021QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490000 | PA      | $1490464.43    | 0.03%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                            | SOFI CONSUMER LOAN PROGRAM TRUST 4.81% 12/26/2035 144A                            | CUSIP: 83408AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1813296.06    | 0.04%             | 2035-12-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM TRUST                            | SOFI CONSUMER LOAN PROGRAM TRUST 4.37% 12/26/2035 144A                            | CUSIP: 83408AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   15500000 | PA      | $15509064.40   | 0.35%             | 2035-12-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2026-1                                                | CARMX 2026-1 A3 4.38% 03/17/2031                                                  | CUSIP: 14320XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5600000 | PA      | $5645064.88    | 0.13%             | 2031-03-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TR 2026-1                     | EXETER AUTOMOBILE RECEIVABLES TR 2026-1A A3 4.17% 03/15/2030                      | CUSIP: 30168HAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     930000 | PA      | $932265.95     | 0.02%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2700000 | NC      | $-31718.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                         | AFFIRM MASTER TRUST 4.33% 02/15/2034 144A                                         | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7020000 | PA      | $7060129.13    | 0.16%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                            | DLLMT 2026-1 LLC 4.37% 07/20/2028 144A                                            | CUSIP: 23347JAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2675000 | PA      | $2678736.44    | 0.06%             | 2028-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                            | DLLMT 2026-1 LLC 4.44% 12/20/2029 144A                                            | CUSIP: 23347JAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1355000 | PA      | $1364437.98    | 0.03%             | 2029-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                       | PEAC SOLUTIONS RECEIVABLES 2026-1 LLC 4.65% 07/20/2033 144A                       | CUSIP: 704583AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     620000 | PA      | $626475.59     | 0.01%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2026-1 LLC                       | PEAC SOLUTIONS RECEIVABLES 2026-1A A2 LLC 4.49% 10/20/2028 144A                   | CUSIP: 704583AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2760000 | PA      | $2766671.20    | 0.06%             | 2028-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EFF 2026-1                                                  | EFF 2026-1 A3 4.42% 03/20/2030 144A                                               | CUSIP: 29376JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4700000 | PA      | $4741289.03    | 0.11%             | 2030-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                             | EXTENDED STAY AMER TR 2026-ESH2 A TSFR1M+130 02/15/2043 144A                      | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7947000 | PA      | $7949483.44    | 0.18%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2026-ESH2                             | EXTENDED STAY AMERICA TRUST 2026-ESH B TSFR1M+155 02/15/2043 144A                 | CUSIP: 30227WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528000 | PA      | $528990.00     | 0.01%             | 2043-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE                             | PRESTON RIDGE PARTNERS MORTGAGE VAR 01/25/2056                                    | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $5043699.50    | 0.11%             | 2056-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030                              | CUSIP: 3137HPUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17398346 | PA      | $17398333.69   | 0.39%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP REC 3.996 01/21/27                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   26000000 | NC      | $1158423.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP PAY 3.996 01/21/27                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   26000000 | NC      | $318343.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2026-1                             | AUTONATION FINANCE TRUST 2026-1A A3 4.23% 08/12/2030 144A                         | CUSIP: 05330WAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2400000 | PA      | $2413406.88    | 0.05%             | 2030-08-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CY873245 04/17/65 B                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1797529 | NC      | $9582.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 10/01/2055#FA3812                                                    | CUSIP: 3140W4GW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10614490 | PA      | $11084236.15   | 0.25%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2055#FA3806                                                    | CUSIP: 3140W4GQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11318847 | PA      | $11827015.82   | 0.27%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#FA2958                                                    | CUSIP: 3140W3JC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25515042 | PA      | $26636639.72   | 0.60%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2055#FA3377                                                    | CUSIP: 3140W3XF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2941928 | PA      | $3065733.62    | 0.07%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 04/01/2054#SD5219                                                    | CUSIP: 3132DSYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433896 | PA      | $452156.20     | 0.01%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 12/01/2053#FS6526                                                  | CUSIP: 3140XNHC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4564123 | PA      | $4830763.85    | 0.11%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP REC 3.964 01/26/27                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   19700000 | NC      | $841985.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP PAY 3.964 01/26/27                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   19700000 | NC      | $258744.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 01/01/2056#FA4441                                                    | CUSIP: 3140W45B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5983069 | PA      | $6267108.46    | 0.14%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 07/01/2055#SL2505                                                  | CUSIP: 31427PYB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3499269 | PA      | $3704520.38    | 0.08%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 02/01/2055#DD0114                                                  | CUSIP: 3140B0DU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283744 | PA      | $300675.74     | 0.01%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 12/01/2054#SL0365                                                  | CUSIP: 31427MMP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11268040 | PA      | $12014361.73   | 0.27%             | 2054-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 09/01/2054#DB9458                                                  | CUSIP: 3140AKQL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333585 | PA      | $351134.85     | 0.01%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 02/01/2055#DD0441                                                  | CUSIP: 3140B0P36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341960 | PA      | $362429.29     | 0.01%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 07/01/2055#SL2500                                                  | CUSIP: 31427PX66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16813708 | PA      | $17838016.03   | 0.40%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2054#FS8542                                                  | CUSIP: 3140XQP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13283012 | PA      | $14162792.60   | 0.32%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 07/01/2054#QI9129                                                  | CUSIP: 3133WGEA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156829 | PA      | $166873.61     | 0.00%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 06/01/2055#DE1640                                                  | CUSIP: 3140BDZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452845 | PA      | $481423.02     | 0.01%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2053#BY5321                                                  | CUSIP: 3140NM4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     830400 | PA      | $875240.91     | 0.02%             | 2053-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 02/01/2055#DD0407                                                  | CUSIP: 3140B0NZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373766 | PA      | $395163.38     | 0.01%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 12/01/2054#DC7824                                                  | CUSIP: 3140AVVS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292640 | PA      | $308099.69     | 0.01%             | 2054-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2054#FS8587                                                  | CUSIP: 3140XQRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10872086 | PA      | $11507243.65   | 0.26%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ039897 12/17/58 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   30000000 | NC      | $12744.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 11/01/2054#SL3775                                                  | CUSIP: 31427RFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8043241 | PA      | $8513135.21    | 0.19%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 08/01/2054#FA4066                                                  | CUSIP: 3140W4QU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15424972 | PA      | $16326114.70   | 0.37%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2026-V20 MTG TR                                   | BENCHMARK 2026-V20 MTG TR 5.228% 02/15/2059                                       | CUSIP: 08164KAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5737409.70    | 0.13%             | 2059-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3                   | CSTL COMMERCIAL MORTGAGE TRUST 2026-GATE3 4.7579% 02/10/2043 144A                 | CUSIP: 228920AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2024342.20    | 0.05%             | 2043-02-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OPTN 2026-A                                                 | OPTN 2026-A A 0% 01/09/2034 144A                                                  | CUSIP: 68390VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     985000 | PA      | $988152.00     | 0.02%             | 2034-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.75% 02/15/2056                                      | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2160000 | PA      | $2201175.00    | 0.05%             | 2056-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.5% 02/15/2029                                                         | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28948000 | PA      | $29038462.50   | 0.65%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHMS K555 SOFR30A+50 11/25/2030                                                   | CUSIP: 3137HQ6C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17700000 | PA      | $17702653.23   | 0.40%             | 2030-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2026-5YR20                                            | BANK5 2026-5YR20 A3 5.244% 02/15/2057                                             | CUSIP: 06650JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5400000 | PA      | $5605034.22    | 0.13%             | 2059-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CZ030005 12/17/57 B                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   11600000 | NC      | $-14596.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TR 2026-A                                | TOYOTA LEASE OWNER TRUST 2026-A 4.09% 02/22/2028 144A                             | CUSIP: 89240MAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   26025000 | PA      | $26008627.67   | 0.58%             | 2028-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLYM COMMERCIAL MORTGAGE TRUST 2026-IND                     | PLYM COMMERCIAL MORTGAGE TRUST 2026-IND TSFR1M+155 03/15/2043 144A                | CUSIP: 69292BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1303000 | PA      | $1303815.68    | 0.03%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLYM COMMERCIAL MORTGAGE TRUST 2026-IND                     | PLYM COMMERCIAL MORTGAGE TRUST 2026-IND A TSFR1M+125 03/15/2043 144A              | CUSIP: 69292BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6465000 | PA      | $6465000.00    | 0.15%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ039897 12/17/58 B                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   20200000 | NC      | $8580.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2026-XL6                       | BX COMMERCIAL MORTGAGE TRUST 2026-XL6 TSFR1M+130 03/15/2043 144A                  | CUSIP: 12433NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5679000 | PA      | $5682572.09    | 0.13%             | 2043-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RKTL 2026-1A                                                | RKTL 2026-1A 4.7% 02/26/2035 144A                                                 | CUSIP: 74990JAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1200078.12    | 0.03%             | 2035-02-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TR 2026-A                                 | NISSAN AUTO LEASE TR 2026-A A3 4.3% 03/15/2029                                    | CUSIP: 65481HAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1960000 | PA      | $1963447.25    | 0.04%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2026-1 A3 4.18% 07/15/2030                 | CUSIP: 80288FAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2925000 | PA      | $2931152.74    | 0.07%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A                      | CARMAX SELECT RECEIVABLES TRUST 2026-A 4.56% 05/17/2032                           | CUSIP: 142929AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     715000 | PA      | $716998.57     | 0.02%             | 2032-05-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2026-A                      | CARMAX SELECT RECEIVABLES TRUST 2026-A A2A 4.37% 12/17/2029                       | CUSIP: 142929AB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2170000 | PA      | $2170308.57    | 0.05%             | 2029-12-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1 4.05% 08/20/2029 144A            | CUSIP: 81885FAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $2001398.40    | 0.04%             | 2029-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1            | SFS AUTO RECEIVABLES SECURITIZATION TRUST 2026-1A A3 4.13% 07/21/2031 144A        | CUSIP: 81885FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2300000 | PA      | $2307114.82    | 0.05%             | 2031-07-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+50 12/25/2030                              | CUSIP: 3137HQDN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $19005931.80   | 0.43%             | 2030-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CROSS 2026-NQM2 MTG TR                                      | CROSS 2026-NQM2 A1A MTG TR VAR 03/25/2061 144A                                    | CUSIP: 227924AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3000000 | PA      | $3000997.50    | 0.07%             | 2061-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC                               | VCAT ASSET SECURITIZATION LLC STEP 02/25/2056 144A                                | CUSIP: 921968AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3700000 | PA      | $3699996.67    | 0.08%             | 2056-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARINGS ISSUER LLC 2026-SBP                                 | BARINGS ISSUER LLC 2026-SBP 4.82% 02/25/2059                                      | CUSIP: 06764UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3226000 | PA      | $3230422.20    | 0.07%             | 2059-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2026-2                             | AOMT 2026-2 4.684% 02/25/2071 144A                                                | CUSIP: 03466LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1600000 | PA      | $1600000.00    | 0.04%             | 2071-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 08/01/2052#SD1482                                                    | CUSIP: 3132DNUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28002426 | PA      | $28498900.47   | 0.64%             | 2052-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                   | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     800000 | NC      | $64311.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CMBXBBB2 12/17/58 B                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    1300000 | NC      | $104494.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer