# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004436
**Filing Date:** 2025-11
**Character Count:** 312818
**Document Hash:** 2643dd3a5588383f6357b414e8472201
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004436.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004436

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528249

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $397517819.36

**Total Liabilities:** $218365057.66

**Net Assets:** $179152761.70

**Delayed Delivery Securities:** $2697750.00

**Cash Not Reported:** $4118205.11

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13157.835800 | **1-Year:** 23702.164300 | **5-Year:** 37562.887000 | **10-Year:** 1788.606300 | **30-Year:** 0.000000

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

- **3-Month:** 103.319600 | **1-Year:** 1244.028000 | **5-Year:** 2271.096000 | **10-Year:** 28.043700 | **30-Year:** 2.368000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027273 | 0.56%                | 0.77%                | 0.48%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $420921.08               | $-1125470.53                               |
| Month 2  | $655804.87               | $924622.12                                 |
| Month 3  | $1090197.80              | $-391628.14                                |

### 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 PASS THRU POOLS                                             | FNMA POOL 775852 FN 03/44 FLOATING VAR                  | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23465 | PA      | $23752.71     | 0.01%             | 2044-03-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4A                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 4A A2           | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $901144.98    | 0.50%             | 2028-03-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686229 | PA      | $2747935.83   | 1.53%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 658481 FN 09/33 FLOATING VAR                  | CUSIP: 31390WRA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11958 | PA      | $12000.94     | 0.01%             | 2033-09-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3           | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $101234.58    | 0.06%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A2         | CUSIP: 86359LEW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953217 | PA      | $907694.03    | 0.51%             | 2035-02-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE1988 FR 05/52 FIXED 3               | CUSIP: 3133BBF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196801 | PA      | $173411.11    | 0.10%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 8A          | CUSIP: 07384MYY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63 | PA      | $60.54        | 0.00%             | 2033-10-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 624612 FN 04/28 FLOATING VAR                  | CUSIP: 31389F3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4771 | PA      | $4796.83      | 0.00%             | 2028-04-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1060 | PA      | $1069.00      | 0.00%             | 2033-02-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                       | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A        | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65233 | PA      | $66198.68     | 0.04%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A                 | NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2B 144A        | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71228 | PA      | $71078.80     | 0.04%             | 2068-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-97009.22    | -0.05%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.10 SP GST                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $35737.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -213 | NC      | $-234541.20   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP SAL                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 816594 FN 02/35 FLOATING VAR                  | CUSIP: 31406QGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7774 | PA      | $7956.51      | 0.00%             | 2035-02-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 708329 FN 07/33 FLOATING VAR                  | CUSIP: 31401G4N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23662 | PA      | $23810.78     | 0.01%             | 2033-07-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.43000 02/27/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-113.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.25000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-119523.20   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A         | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980254 | PA      | $853837.63    | 0.48%             | 2046-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A2          | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264759 | PA      | $264899.42    | 0.15%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.65000 02/08/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-48301.58    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-95                                               | FANNIE MAE FNR 2002 95 FK                               | CUSIP: 31392HGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6205 | PA      | $6197.78      | 0.00%             | 2033-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 749706 FN 11/33 FLOATING VAR                  | CUSIP: 31403H3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11002 | PA      | $11204.79     | 0.01%             | 2033-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| TPMT-2019-1                                                      | TOWD POINT MORTGAGE TRUST TPMT 2019 1 A1 144A           | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    849616 | PA      | $828578.27    | 0.46%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                               | US TREASURY N/B 02/43 3.125                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4730000 | PA      | $3862155.87   | 2.16%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A5       | CUSIP: 92922F3K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283174 | PA      | $258555.23    | 0.14%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A           | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504369 | PA      | $463512.28    | 0.26%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $965861.92    | 0.54%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       159 | PA      | $167.89       | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A2        | CUSIP: 161630AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70993 | PA      | $70517.07     | 0.04%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-182158.41   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A            | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9528 | PA      | $9177.80      | 0.01%             | 2032-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $51178.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 770144 FN 02/34 FLOATING VAR                  | CUSIP: 31404JS97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6640 | PA      | $6761.18      | 0.00%             | 2034-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0549 FH 06/35 FLOATING VAR          | CUSIP: 3128NCTE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2099 | PA      | $2149.50      | 0.00%             | 2035-06-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2025-1A                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2025 1A A2A 144A   | CUSIP: 55287XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692178 | PA      | $694273.35    | 0.39%             | 2028-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6444.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A2                  | CUSIP: 12669F6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7204 | PA      | $6945.77      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 766453 FN 03/34 FLOATING VAR                  | CUSIP: 31404EQE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8336 | PA      | $8497.08      | 0.00%             | 2034-03-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR8                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A1         | CUSIP: 86359LGE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58707 | PA      | $56420.82     | 0.03%             | 2035-05-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 850862 FN 12/35 FLOATING VAR                  | CUSIP: 31408GJF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3436 | PA      | $3528.66      | 0.00%             | 2035-12-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 938953 FN 08/37 FLOATING VAR                  | CUSIP: 31412YTJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    257715 | PA      | $266272.41    | 0.15%             | 2037-08-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 788974 FN 04/34 FLOATING VAR                  | CUSIP: 31405GQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14560 | PA      | $14848.95     | 0.01%             | 2034-04-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                     | FANNIEMAE WHOLE LOAN FNW 2002 W4 A5                     | CUSIP: 31392DUA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9668 | PA      | $10273.42     | 0.01%             | 2042-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0058 FH 01/35 FLOATING VAR          | CUSIP: 3128NCB37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       958 | PA      | $992.06       | 0.00%             | 2035-01-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                             | COLLEGE AVE STUDENT LOANS CASL 2021 A A1 144A           | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    288211 | PA      | $287879.24    | 0.16%             | 2051-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 3A          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2109 | PA      | $2119.53      | 0.00%             | 2033-10-25      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888507 FN 02/35 FLOATING VAR                  | CUSIP: 31410GDL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6681 | PA      | $6924.59      | 0.00%             | 2035-02-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                               | SLM STUDENT LOAN TRUST SLMA 2006 B A5                   | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129169 | PA      | $126120.74    | 0.07%             | 2039-12-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635274 | PA      | $629627.81    | 0.35%             | 2034-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1      | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    914549 | PA      | $843087.82    | 0.47%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/3.00 9/19/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $12394.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A1           | CUSIP: 126673AW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2707262 | PA      | $2640697.43   | 1.47%             | 2034-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $305150.95    | 0.17%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-39504.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 545356 FN 11/31 FLOATING VAR                  | CUSIP: 31385HZV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4491 | PA      | $4573.61      | 0.00%             | 2031-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.70520 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $94173.93     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A    | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $903486.06    | 0.50%             | 2037-07-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.50000 12/20/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-13364.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                     | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74466 | PA      | $74220.11     | 0.04%             | 2042-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 748754 FN 10/33 FIXED 7                       | CUSIP: 31403GZT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9831 | PA      | $9852.22      | 0.01%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.00 8/12/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $266989.71    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7006 | PA      | $6670.00      | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AS0061 FN 08/28 FIXED 3                       | CUSIP: 3138W9B74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17614 | PA      | $17382.88     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4662 FN 07/42 FIXED 4                       | CUSIP: 31418EFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36279 | PA      | $35482.94     | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 3A1                  | CUSIP: 36228F4R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300 | PA      | $9029.09      | 0.01%             | 2034-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725998 FN 11/34 FLOATING VAR                  | CUSIP: 31402DRT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1541 | PA      | $1570.94      | 0.00%             | 2034-11-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 620051 FN 08/32 FLOATING VAR                  | CUSIP: 31389AZQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1902 | PA      | $1862.07      | 0.00%             | 2032-08-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B7053 FH 04/36 FLOATING VAR          | CUSIP: 3128QPGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75084 | PA      | $76333.35     | 0.04%             | 2036-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                       | LCM LTD PARTNERSHIP LCM 31A AR 144A                     | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001309.96   | 0.56%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX B 144A      | CUSIP: 36257CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1238037.36   | 0.69%             | 2034-05-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 793025 FN 07/34 FLOATING VAR                  | CUSIP: 31405MA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31140 | PA      | $31517.84     | 0.02%             | 2034-07-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A2            | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $200060.86    | 0.11%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3       | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124799 | PA      | $118910.74    | 0.07%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL3                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4         | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308541 | PA      | $140160.50    | 0.08%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.45000 03/07/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2941.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A2          | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174933 | PA      | $175009.99    | 0.10%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-62                                               | FANNIE MAE FNR 2001 62 FC                               | CUSIP: 31392ADL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9759 | PA      | $9780.40      | 0.01%             | 2031-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-38                                               | FANNIE MAE FNR 2001 38 FB                               | CUSIP: 313920QJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1180 | PA      | $1179.99      | 0.00%             | 2031-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.11 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $13116.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735084 FN 02/34 FLOATING VAR                  | CUSIP: 31402QUH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7684 | PA      | $7835.87      | 0.00%             | 2034-02-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A     | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147483 | PA      | $149156.40    | 0.08%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-A                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 A 2A2             | CUSIP: 589929G36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14777 | PA      | $13070.45     | 0.01%             | 2028-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 21A1      | CUSIP: 07389QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352646 | PA      | $176165.59    | 0.10%             | 2036-10-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                     | FANNIEMAE WHOLE LOAN FNW 2002 W4 A4                     | CUSIP: 31392DUF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10038 | PA      | $10230.62     | 0.01%             | 2042-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                              | PARALLEL LTD PARL 2021 1A AR 144A                       | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800640.00    | 0.45%             | 2034-07-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR10                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR10 A7        | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48590 | PA      | $46975.52     | 0.03%             | 2033-10-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14374.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2130                                                 | FREDDIE MAC FHR 2130 FD                                 | CUSIP: 3133TJN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8532 | PA      | $8518.22      | 0.00%             | 2029-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/20/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $84817.50     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL G08799 FG 02/48 FIXED 3               | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2030357 | PA      | $1825158.39   | 1.02%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.4* 09/07/23-8Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $100544.10    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 912687 FN 05/37 FLOATING VAR                  | CUSIP: 31411N6Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    140685 | PA      | $143978.46    | 0.08%             | 2037-05-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4               | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61690 | PA      | $60335.97     | 0.03%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3              | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94239 | PA      | $90816.58     | 0.05%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 870906 FN 12/36 FLOATING VAR                  | CUSIP: 31409GR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24181 | PA      | $25073.20     | 0.01%             | 2036-12-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1         | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117842 | PA      | $117914.96    | 0.07%             | 2034-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725828 FN 05/34 FLOATING VAR                  | CUSIP: 31402DLH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2552 | PA      | $2563.77      | 0.00%             | 2034-05-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A         | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766620 | PA      | $774666.51    | 0.43%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                             | ATLX TRUST ATLX 2024 RPL2 A1 144A                       | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921628 | PA      | $889653.65    | 0.50%             | 2063-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A4                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 A4 2A2              | CUSIP: 466247EH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       544 | PA      | $518.82       | 0.00%             | 2034-09-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2025-3                                   | CARMAX AUTO OWNER TRUST CARMX 2025 3 A2A                | CUSIP: 14290FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $884143.22    | 0.49%             | 2028-08-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A   | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $247500.00    | 0.14%             | 2036-12-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0083 FH 03/35 FLOATING VAR          | CUSIP: 3128NCCU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4889 | PA      | $5025.83      | 0.00%             | 2035-03-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2525                                                 | FREDDIE MAC FHR 2525 AM                                 | CUSIP: 31392XUX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71867 | PA      | $72263.33     | 0.04%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1N0117 FH 12/35 FLOATING VAR          | CUSIP: 3128QGDW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6077 | PA      | $6143.43      | 0.00%             | 2035-12-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735435 FN 02/35 FLOATING VAR                  | CUSIP: 31402RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3509 | PA      | $3590.91      | 0.00%             | 2035-02-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813842 FN 01/35 FLOATING VAR                  | CUSIP: 31406MEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       920 | PA      | $943.75       | 0.00%             | 2035-01-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $2589263.87   | 1.45%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-49458.66    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B3482 FH 07/37 FLOATING VAR          | CUSIP: 3128JNXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40988 | PA      | $41970.07     | 0.02%             | 2037-07-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2024-1 LTD                                               | TCW LTD TCW 2024 1A A1 144A                             | CUSIP: 87252MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $4018806.32   | 2.24%             | 2037-01-16      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A1         | CUSIP: 05948XBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       330 | PA      | $324.14       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1               | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98854 | PA      | $93622.79     | 0.05%             | 2034-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $589856.47    | 0.33%             | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0224A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $94080.41     | 0.05%             | 2040-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                              | MFRA TRUST MFRA 2020 NQM3 A2 144A                       | CUSIP: 552757AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109007 | PA      | $103989.91    | 0.06%             | 2065-01-26      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2233899 | PA      | $2187488.43   | 1.22%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A6              | CUSIP: 466247YS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55347 | PA      | $45122.67     | 0.03%             | 2035-11-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-118                                              | FANNIE MAE FNR 2003 118 FD                              | CUSIP: 31393UMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4479 | PA      | $4464.51      | 0.00%             | 2033-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-60                                               | FANNIE MAE FNR 2002 60 F1                               | CUSIP: 31392EVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1102 | PA      | $1100.04      | 0.00%             | 2032-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                               | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5275 | PA      | $5267.39      | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR          | CUSIP: 3128NC6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7150 | PA      | $7305.86      | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725805 FN 09/34 FLOATING VAR                  | CUSIP: 31402DKS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16967 | PA      | $17092.50     | 0.01%             | 2034-09-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-40391.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A3 144A    | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $804972.80    | 0.45%             | 2030-06-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 833479 FN 09/35 FLOATING VAR                  | CUSIP: 31407K6Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38271 | PA      | $40133.86     | 0.02%             | 2035-09-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813844 FN 01/35 FLOATING VAR                  | CUSIP: 31406MER3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4036 | PA      | $4148.79      | 0.00%             | 2035-01-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2451                                                 | FREDDIE MAC FHR 2451 FB                                 | CUSIP: 31392KGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2507 | PA      | $2507.41      | 0.00%             | 2032-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847433 FH 07/35 FLOATING VAR          | CUSIP: 3128JRHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5142 | PA      | $5221.78      | 0.00%             | 2035-07-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745627 FN 04/36 FLOATING VAR                  | CUSIP: 31403DLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $20.07        | 0.00%             | 2036-04-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                 | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A           | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    643078 | PA      | $646798.64    | 0.36%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 2A2       | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5545 | PA      | $4870.89      | 0.00%             | 2033-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 768435 FN 01/34 FLOATING VAR                  | CUSIP: 31404GV40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       753 | PA      | $775.86       | 0.00%             | 2034-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-21                                               | FANNIE MAE FNR 2003 21 FK                               | CUSIP: 31392JY29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2136 | PA      | $2122.53      | 0.00%             | 2033-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA2                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA2 2A1       | CUSIP: 32051D4S8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28486 | PA      | $28529.28     | 0.02%             | 2034-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                 | FREDDIE MAC FHR 2177 F                                  | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2203 | PA      | $2201.74      | 0.00%             | 2029-08-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE2230 FR 05/52 FIXED 3               | CUSIP: 3133BBPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98078 | PA      | $86319.59     | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3          | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $801415.52    | 0.45%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4464.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/0.9* 8/06/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $19803.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -72 | NC      | $-221167.66   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                              | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A           | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1008432.10   | 0.56%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A2         | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $900289.53    | 0.50%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780711 FH 07/33 FLOATING VAR          | CUSIP: 31342AYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3603 | PA      | $3683.87      | 0.00%             | 2033-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/21/23-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24002.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 865643 FH 04/30 FLOATING VAR          | CUSIP: 31348UHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7367 | PA      | $7398.88      | 0.00%             | 2030-04-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 2A         | CUSIP: 86359AS46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13404 | PA      | $12505.61     | 0.01%             | 2033-09-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 781498 FH 01/34 FLOATING VAR          | CUSIP: 31349SUX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47576 | PA      | $48797.25     | 0.03%             | 2034-01-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -105 | NC      | $-51811.09    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2025 A A2A           | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100049.23    | 0.06%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                              | MFRA TRUST MFRA 2020 NQM3 A3 144A                       | CUSIP: 552757AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109007 | PA      | $104282.56    | 0.06%             | 2065-01-26      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 821934 FN 06/35 FLOATING VAR                  | CUSIP: 31406WEF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5544 | PA      | $5666.67      | 0.00%             | 2035-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 2A2         | CUSIP: 05948XYD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14881 | PA      | $13177.97     | 0.01%             | 2033-11-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.25000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-369428.08   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                 | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 A1       | CUSIP: 94982DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2400 | PA      | $2362.24      | 0.00%             | 2035-08-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1254877.06  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 620064 FN 01/38 FLOATING VAR                  | CUSIP: 31389AZ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $376.96       | 0.00%             | 2038-01-01      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0233 FH 05/35 FLOATING VAR          | CUSIP: 3128NCHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33362 | PA      | $34019.78     | 0.02%             | 2035-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 256159 FN 02/36 FLOATING VAR                  | CUSIP: 31371MQL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15841 | PA      | $16139.75     | 0.01%             | 2036-02-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A         | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2754 | PA      | $2685.05      | 0.00%             | 2042-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1L0096 FH 02/35 FLOATING VAR          | CUSIP: 3128Q2C92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26388 | PA      | $27013.57     | 0.02%             | 2035-02-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                  | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    491519 | PA      | $449220.00    | 0.25%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735964 FN 10/35 FLOATING VAR                  | CUSIP: 31402RTV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5327 | PA      | $5482.67      | 0.00%             | 2035-10-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR30                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR30 2A1       | CUSIP: 22541Q2A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80535 | PA      | $78137.65     | 0.04%             | 2034-01-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2024-22A LTD                                 | BRYANT PARK FUNDING LTD BRYPK 2024 22A A1 144A          | CUSIP: 11766CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004896.40   | 0.56%             | 2037-04-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 870116 FN 09/35 FLOATING VAR                  | CUSIP: 31409FVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48894 | PA      | $50525.07     | 0.03%             | 2035-09-01      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.34000 02/23/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1494.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199100 | PA      | $182646.97    | 0.10%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-6                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 6 A1                   | CUSIP: 81744FCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8843 | PA      | $7977.19      | 0.00%             | 2034-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735834 FN 10/34 FLOATING VAR                  | CUSIP: 31402RPT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27524 | PA      | $27520.88     | 0.02%             | 2034-10-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 255121 FN 12/33 FLOATING VAR                  | CUSIP: 31371LLA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5296 | PA      | $5375.56      | 0.00%             | 2033-12-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 530683 FN 07/29 FLOATING VAR                  | CUSIP: 31384QRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1220 | PA      | $1225.20      | 0.00%             | 2029-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A    | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560480 | PA      | $559955.10    | 0.31%             | 2055-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972126 FH 08/33 FLOATING VAR          | CUSIP: 31336CLF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       805 | PA      | $818.07       | 0.00%             | 2033-08-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3          | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $801837.12    | 0.45%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 2A2        | CUSIP: 16162WPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16295 | PA      | $15493.80     | 0.01%             | 2035-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-19                                   | COUNTRYWIDE HOME LOANS CWHL 2005 19 2A2                 | CUSIP: 126694AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60189 | PA      | $10582.93     | 0.01%             | 2035-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 3A1       | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21032 | PA      | $18445.78     | 0.01%             | 2035-11-19      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-AGS                           | COMMONBOND STUDENT LOAN TRUST CBSLT 2020 AGS A 144A     | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359039 | PA      | $323240.83    | 0.18%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 913983 FN 02/37 FLOATING VAR                  | CUSIP: 31411SM86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3067 | PA      | $3117.03      | 0.00%             | 2037-02-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| LCM LOAN INCOME FUND I LTD                                       | LCM LOAN INCOME FUND LTD LCMLF 1A A 144A                | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    128807 | PA      | $128920.95    | 0.07%             | 2031-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                       | SPACE COAST CREDIT UNION SCCU 2025 1A A3 144A           | CUSIP: 80620BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $907203.87    | 0.51%             | 2031-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2029039 | PA      | $2031304.61   | 1.13%             | 2051-09-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF1 LLC                                               | PRP ADVISORS, LLC PRPM 2023 RCF1 A1 144A                | CUSIP: 69381AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1375399 | PA      | $1362310.19   | 0.76%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR NIM LTD 2007-C                                        | NATIONSTAR NIM TRUST NSTRN 2007 C A 144A                | CUSIP: 63860MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     23958 | PA      | $0.00         | 0.00%             | 2037-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $516677.20    | 0.29%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.77000 02/14/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-45282.34    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-6                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 6 5A1          | CUSIP: 576433PD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66311 | PA      | $65059.69     | 0.04%             | 2034-07-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                    | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                    | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7361 | PA      | $7341.94      | 0.00%             | 2042-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE  ASSOCIATION GNR-2019-H11           | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H11 FM          | CUSIP: 38380LVB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    635229 | PA      | $635129.97    | 0.35%             | 2069-05-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $188043.22    | 0.10%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1              | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217755 | PA      | $110868.43    | 0.06%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $496762.72    | 0.28%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BXMT 2020-FL3 LTD                                                | BXMT LTD BXMT 2020 FL3 A 144A                           | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    330246 | PA      | $329922.48    | 0.18%             | 2037-11-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14373.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2025-A                            | MERCEDES BENZ AUTO LEASE TRUST MBALT 2025 A A2A         | CUSIP: 58768YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1610782.40   | 0.90%             | 2028-04-17      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    991433 | PA      | $912552.88    | 0.51%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A      | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284925 | PA      | $264483.77    | 0.15%             | 2046-02-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2A1         | CUSIP: 542514BQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15726 | PA      | $15755.29     | 0.01%             | 2032-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1          | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3655 | PA      | $3698.37      | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19805 | PA      | $20060.60     | 0.01%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972132 FH 11/33 FLOATING VAR          | CUSIP: 31336CLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7749 | PA      | $7941.71      | 0.00%             | 2033-11-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-76044.47    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-L                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 L 2A2         | CUSIP: 05948XR29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8667 | PA      | $8652.51      | 0.00%             | 2034-01-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                   | LENDMARK FUNDING TRUST LFT 2024 1A A 144A               | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015527.60   | 0.57%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080628 G2 08/32 FLOATING VAR               | CUSIP: 36225CVW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12029 | PA      | $12194.05     | 0.01%             | 2032-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15679.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-12                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 12 3A2         | CUSIP: 863579AQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13800 | PA      | $13532.07     | 0.01%             | 2034-09-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780679 FH 07/33 FLOATING VAR          | CUSIP: 31342AXG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       490 | PA      | $502.48       | 0.00%             | 2033-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1              | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17364 | PA      | $16183.64     | 0.01%             | 2028-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/15/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-60856.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 850124 FN 09/35 FLOATING VAR                  | CUSIP: 31408FPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8760 | PA      | $8948.68      | 0.00%             | 2035-09-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G2592 FH 12/36 FLOATING VAR          | CUSIP: 3128QS2Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11037 | PA      | $11258.22     | 0.01%             | 2036-12-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| OBX 2021-NQM1                                                    | ONSLOW BAY FINANCIAL LLC OBX 2021 NQM1 A1 144A          | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2411848 | PA      | $2110504.34   | 1.18%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2413                                                 | FREDDIE MAC FHR 2413 FB                                 | CUSIP: 31339NE85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6785 | PA      | $6773.64      | 0.00%             | 2032-02-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A3            | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100043.69    | 0.06%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2003-4                                 | NOVASTAR HOME EQUITY LOAN NHEL 2003 4 A1                | CUSIP: 66987XDE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1284467 | PA      | $1288167.73   | 0.72%             | 2034-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A      | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1591134.12   | 0.89%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 852422 FN 01/36 FLOATING VAR                  | CUSIP: 31408JAX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       750 | PA      | $764.54       | 0.00%             | 2036-01-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                           | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $450739.58    | 0.25%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/26/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36206.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 722780 FN 09/33 FLOATING VAR                  | CUSIP: 31401Y6R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4093 | PA      | $4133.81      | 0.00%             | 2033-09-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL FA1839 FN 03/45 FIXED VAR                     | CUSIP: 3140W2BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600001 | PA      | $628632.16    | 0.35%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $901152.86    | 0.50%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                               | FANNIE MAE FNR 2006 30 KF                               | CUSIP: 31395B6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3834 | PA      | $3809.63      | 0.00%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8337.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 806721 FN 11/34 FLOATING VAR                  | CUSIP: 31406DG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4752 | PA      | $4904.75      | 0.00%             | 2034-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.87200 04/06/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-84112.37    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A           | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406476 | PA      | $400957.77    | 0.22%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 824886 FN 11/33 FLOATING VAR                  | CUSIP: 31407ANB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12307 | PA      | $12487.18     | 0.01%             | 2033-11-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.10000 09/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3989.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 MONTH SOFR FUT  MAR26 XCME 20260616                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $-1838.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1151 | PA      | $1151.35      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.05000 09/06/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-16654.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A          | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1466169 | PA      | $1477336.58   | 0.82%             | 2064-10-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 MONTH SOFR FUT  DEC25 XCME 20260317                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $261.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2509                                                 | FREDDIE MAC FHR 2509 ZQ                                 | CUSIP: 31392WJU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2321 | PA      | $2395.23      | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-25                                               | FANNIE MAE FNR 2002 25 FX                               | CUSIP: 31392C6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4829 | PA      | $4864.89      | 0.00%             | 2032-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 2A        | CUSIP: 93363TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362530 | PA      | $2309780.57   | 1.29%             | 2046-09-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1789.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    799487 | PA      | $791534.95    | 0.44%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A     | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328379 | PA      | $332558.42    | 0.19%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A    | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    918752 | PA      | $909375.07    | 0.51%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725187 FN 07/33 FLOATING VAR                  | CUSIP: 31402CUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       699 | PA      | $708.02       | 0.00%             | 2033-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555175 FN 01/33 FLOATING VAR                  | CUSIP: 31385WXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1331 | PA      | $1343.88      | 0.00%             | 2033-01-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 670932 FN 01/33 FLOATING VAR                  | CUSIP: 31391MLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       507 | PA      | $520.36       | 0.00%             | 2033-01-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $35496.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3068270 | PA      | $2876158.32   | 1.61%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                           | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76529 | PA      | $74272.49     | 0.04%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1        | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20230 | PA      | $17630.71     | 0.01%             | 2035-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32960.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-A                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 A A2A 144A      | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181411 | PA      | $176064.20    | 0.10%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                             | WSTN TRUST WSTN 2023 MAUI A 144A                        | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $510151.10    | 0.28%             | 2037-07-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.67844 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $55656.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR          | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       941 | PA      | $964.42       | 0.00%             | 2035-09-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 959744 FN 11/47 FLOATING VAR                  | CUSIP: 31413YWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101134 | PA      | $104139.39    | 0.06%             | 2047-11-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650889 | PA      | $621449.29    | 0.35%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.88750 03/22/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36511.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 753923 FN 11/33 FLOATING VAR                  | CUSIP: 31403NSL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22113 | PA      | $22521.03     | 0.01%             | 2033-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                       | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82714 | PA      | $80753.95     | 0.05%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BJ2526 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3YY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24608 | PA      | $22743.84     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1        | CUSIP: 76111XG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52754 | PA      | $48704.25     | 0.03%             | 2036-02-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6942* 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $81453.79     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                           | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A         | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330059 | PA      | $321417.96    | 0.18%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-5                                              | IMPAC CMB TRUST IMM 2005 5 A1                           | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353263 | PA      | $333724.85    | 0.19%             | 2035-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780060 FH 12/32 FLOATING VAR          | CUSIP: 31342AB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1980 | PA      | $2026.62      | 0.00%             | 2032-12-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12200000 | PA      | $12293354.89  | 6.86%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A2      | CUSIP: 92925CBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601999 | PA      | $606588.37    | 0.34%             | 2045-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8347 | PA      | $8599.53      | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 594243 FN 12/30 FLOATING VAR                  | CUSIP: 31387UEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       594 | PA      | $599.60       | 0.00%             | 2030-12-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 696061 FN 04/33 FLOATING VAR                  | CUSIP: 31400SJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5133 | PA      | $5184.80      | 0.00%             | 2033-04-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.30000 01/17/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $20173.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.40000 02/23/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2706.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.9* 02/09/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $20651.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2020 C55 A5         | CUSIP: 95002EBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $559657.92    | 0.31%             | 2053-02-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2811 | PA      | $2841.32      | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-3                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 3 A 144A           | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268156 | PA      | $268942.42    | 0.15%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 826436 FN 07/35 FLOATING VAR                  | CUSIP: 31407CEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       516 | PA      | $528.30       | 0.00%             | 2035-07-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080327 G2 10/29 FLOATING VAR               | CUSIP: 36225CLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83729 | PA      | $83836.60     | 0.05%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5        | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274480 | PA      | $254380.66    | 0.14%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.8 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900000.00    | 0.50%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1        | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32449 | PA      | $34662.99     | 0.02%             | 2033-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $616259.60    | 0.34%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 828860 FN 05/35 FLOATING VAR                  | CUSIP: 31407EZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25589 | PA      | $25803.95     | 0.01%             | 2035-05-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                | BDS LTD BDS 2025 FL14 A 144A                            | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    850000 | PA      | $851664.78    | 0.48%             | 2042-10-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25900000 | PA      | $26456085.69  | 14.77%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2005-2                                    | SEQUOIA MORTGAGE TRUST SEMT 2005 2 A2                   | CUSIP: 81744FGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36737 | PA      | $34432.50     | 0.02%             | 2035-03-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 535758 FN 03/30 FLOATING VAR                  | CUSIP: 31384WE71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13686 | PA      | $13656.05     | 0.01%             | 2030-03-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MORTGAGE TRUST                                       | CD COMMERCIAL MORTGAGE TRUST CD 2017 CD5 A4             | CUSIP: 12515HAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $393064.08    | 0.22%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6153 | PA      | $6196.10      | 0.00%             | 2041-09-01      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10811 | PA      | $10907.59     | 0.01%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                  | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    993284 | PA      | $906529.96    | 0.51%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4697.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972205 FH 03/36 FLOATING VAR          | CUSIP: 31336CNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97180 | PA      | $99546.57     | 0.06%             | 2036-03-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 780514 FH 05/33 FLOATING VAR          | CUSIP: 31342ASB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $234.25       | 0.00%             | 2033-05-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL SC0376 FR 11/42 FIXED 4               | CUSIP: 3132D9MZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60030 | PA      | $58712.45     | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-2 TRUST                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 2 A 144A       | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318987 | PA      | $320743.57    | 0.18%             | 2034-06-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745896 FN 09/36 FLOATING VAR                  | CUSIP: 31403DUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $315.59       | 0.00%             | 2036-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1Q0001 FH 01/36 FLOATING VAR          | CUSIP: 3128S4AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       990 | PA      | $1014.04      | 0.00%             | 2036-01-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    722597 | PA      | $671841.04    | 0.38%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3              | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111854 | PA      | $105291.12    | 0.06%             | 2035-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2          | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32857 | PA      | $31384.26     | 0.02%             | 2035-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                   | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A       | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000936.10   | 0.56%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 2024-B                                    | TESLA AUTO LEASE TRUST TESLA 2024 B A2A 144A            | CUSIP: 881934AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311562 | PA      | $311890.42    | 0.17%             | 2027-01-20      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MTGE 20                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 5 2A          | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9029 | PA      | $8550.64      | 0.00%             | 2034-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AS3724 FN 11/44 FIXED 3.5                     | CUSIP: 3138WDD65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    481947 | PA      | $455052.04    | 0.25%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B       | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    597296 | PA      | $550635.45    | 0.31%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 395136 FN 07/27 FLOATING VAR                  | CUSIP: 31378C4V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       440 | PA      | $436.68       | 0.00%             | 2027-07-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                    | SLM STUDENT LOAN TRUST SLMA 2005 B A4                   | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    712492 | PA      | $695858.72    | 0.39%             | 2039-06-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-P2                    | WELLS FARGO COMMERCIAL MORTGAG WFCM 2015 P2 A4          | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173467 | PA      | $173021.92    | 0.10%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4729 FN 09/42 FIXED 4                       | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2842 | PA      | $2779.32      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-6HE                                   | TERWIN MORTGAGE TRUST TMTS 2005 6HE M5                  | CUSIP: 881561RD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291573 | PA      | $292153.49    | 0.16%             | 2036-04-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $124371.36    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A1        | CUSIP: 86359A4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5905 | PA      | $5867.46      | 0.00%             | 2033-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36701 | PA      | $35345.48     | 0.02%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5967.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813002 | PA      | $821251.56    | 0.46%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A      | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $806615.04    | 0.45%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 809324 FN 02/35 FLOATING VAR                  | CUSIP: 31406GD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2019 | PA      | $2037.06      | 0.00%             | 2035-02-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 765160 FH 09/30 FLOATING VAR          | CUSIP: 31348MWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24028 | PA      | $23952.24     | 0.01%             | 2030-09-01      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 750809 FN 11/33 FLOATING VAR                  | CUSIP: 31403KDN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26232 | PA      | $26331.78     | 0.01%             | 2033-11-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                  | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7954 | PA      | $7430.54      | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847276 FH 04/34 FLOATING VAR          | CUSIP: 3128JRCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169 | PA      | $172.99       | 0.00%             | 2034-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5079869.45   | 2.84%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    289135 | PA      | $267409.14    | 0.15%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735199 FN 01/35 FLOATING VAR                  | CUSIP: 31402QX48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7330 | PA      | $7453.28      | 0.00%             | 2035-01-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $6121.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN BROTHERS HOLDINGS INC                                     | ESC LEHMAN BRTH HLDH PROD                               | CUSIP: 525ESC6Y0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2000.00      | 0.00%             | 2027-09-27      | None          | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                               | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2867136.71   | 1.60%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1             | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A   | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1121966.04   | 0.63%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS USD SOFR/1.81700 04/05/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-173707.65   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/22/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36452.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE1435 FR 05/52 FIXED 3               | CUSIP: 3133BASY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49343 | PA      | $43478.91     | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4864 FN 01/43 FIXED 4                       | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33859 | PA      | $33116.40     | 0.02%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3134                                                 | FREDDIE MAC FHR 3134 FA                                 | CUSIP: 31396J4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       865 | PA      | $856.56       | 0.00%             | 2036-03-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6486 | PA      | $6283.97      | 0.00%             | 2032-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B7432 FH 11/34 FLOATING VAR          | CUSIP: 3128QPUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98620 | PA      | $100327.11    | 0.06%             | 2034-11-01      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.56673 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $135131.96    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2129                                                 | FREDDIE MAC FHR 2129 F                                  | CUSIP: 3133TJFT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1180 | PA      | $1177.89      | 0.00%             | 2029-02-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1         | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11069 | PA      | $9967.90      | 0.01%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $480469.72    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 781560 FN 10/34 FLOATING VAR                  | CUSIP: 31404XJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1695 | PA      | $1716.49      | 0.00%             | 2034-10-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 844052 FN 11/35 FLOATING VAR                  | CUSIP: 31407XWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1583 | PA      | $1607.57      | 0.00%             | 2035-11-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H2567 FH 09/35 FLOATING VAR          | CUSIP: 3128QLQU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6738 | PA      | $6913.41      | 0.00%             | 2035-09-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2000-38                                        | FANNIE MAE FNR 2000 38 F                                | CUSIP: 31358SVW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3767 | PA      | $3759.25      | 0.00%             | 2030-11-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2025-A OWNER TRUST                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2025 A A2A          | CUSIP: 65481GAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1506678.30   | 0.84%             | 2028-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2004-3                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1          | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848586 | PA      | $845556.06    | 0.47%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-56                                   | COUNTRYWIDE HOME LOANS CWHL 2003 56 5A1                 | CUSIP: 12669FBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19065 | PA      | $19398.16     | 0.01%             | 2033-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 863741 FN 12/35 FLOATING VAR                  | CUSIP: 31408XS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       351 | PA      | $359.41       | 0.00%             | 2035-12-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6149595.69   | 3.43%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM1 TRUST                                              | MFRA TRUST MFRA 2020 NQM1 A1 144A                       | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95818 | PA      | $93158.10     | 0.05%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-2             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 2 A2          | CUSIP: 10807HAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800581 | PA      | $801207.46    | 0.45%             | 2028-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15358 | PA      | $14350.05     | 0.01%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2019-A                             | COLLEGE AVE STUDENT LOANS CASL 2019 A A2 144A           | CUSIP: 19421UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    801642 | PA      | $770276.30    | 0.43%             | 2048-12-28      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A2A          | CUSIP: 65479WAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    492925 | PA      | $493482.94    | 0.28%             | 2027-06-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A      | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312050 | PA      | $313845.30    | 0.18%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 735966 FN 10/33 FLOATING VAR                  | CUSIP: 31402RTX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       777 | PA      | $789.49       | 0.00%             | 2033-10-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A       | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171663 | PA      | $173152.36    | 0.10%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 629132 FN 05/32 FLOATING VAR                  | CUSIP: 31389L4R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28935 | PA      | $29520.46     | 0.02%             | 2032-05-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1B7435 FH 08/35 FLOATING VAR          | CUSIP: 3128QPUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72937 | PA      | $74352.15     | 0.04%             | 2035-08-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $15503099.10  | 8.65%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H2601 FH 03/36 FLOATING VAR          | CUSIP: 3128QLRW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1502 | PA      | $1554.41      | 0.00%             | 2036-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1705 | PA      | $1761.75      | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AY1114 FN 04/30 FIXED 3                       | CUSIP: 3138YEGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36529 | PA      | $35862.31     | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 782760 FH 11/36 FLOATING VAR          | CUSIP: 31349UB56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       418 | PA      | $434.04       | 0.00%             | 2036-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                           | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1700000 | PA      | $1701785.00   | 0.95%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15814 | PA      | $15781.21     | 0.01%             | 2042-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 540206 FN 05/30 FLOATING VAR                  | CUSIP: 31385CDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8462 | PA      | $8512.80      | 0.00%             | 2030-05-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                       | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $850510.00    | 0.47%             | 2035-01-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-515724.87   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.2* 09/28/23-5Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-40155.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                               | FANNIE MAE FNR 2000 32 FM                               | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9352 | PA      | $9338.66      | 0.01%             | 2030-10-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 1A        | CUSIP: 17307GEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12763 | PA      | $12563.81     | 0.01%             | 2034-03-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 743449 FN 10/33 FLOATING VAR                  | CUSIP: 31403A5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17935 | PA      | $18384.79     | 0.01%             | 2033-10-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    542887 | PA      | $523435.78    | 0.29%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A3          | CUSIP: 863579BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62272 | PA      | $58692.21     | 0.03%             | 2034-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $302068.62    | 0.17%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                 | NAVIENT STUDENT LOAN TRUST NAVSL 2019 D A2A 144A        | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661331 | PA      | $644016.70    | 0.36%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-4                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 4 6A3          | CUSIP: 863579NA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34390 | PA      | $29148.17     | 0.02%             | 2035-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                              | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43782 | PA      | $43703.24     | 0.02%             | 2031-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4               | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11167 | PA      | $10921.63     | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 3A1         | CUSIP: 05948XT50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18070 | PA      | $18268.94     | 0.01%             | 2034-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LN TR 2004-4                                 | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 4 M1           | CUSIP: 004375CG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278460 | PA      | $276993.99    | 0.15%             | 2035-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | 3 MONTH SOFR FUT  SEP25 XCME 20251216                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $2662.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-UST1                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 UST1 A2        | CUSIP: 17307GKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       454 | PA      | $434.64       | 0.00%             | 2034-08-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A       | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    503246 | PA      | $505902.74    | 0.28%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-16996.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 766079 FN 02/34 FLOATING VAR                  | CUSIP: 31404ECQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21326 | PA      | $21792.38     | 0.01%             | 2034-02-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.50000 12/20/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8392.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-73084.35    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 737204 FN 08/33 FLOATING VAR                  | CUSIP: 31402TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       434 | PA      | $441.56       | 0.00%             | 2033-08-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8902.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888547 FN 06/37 FLOATING VAR                  | CUSIP: 31410GEU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5526 | PA      | $5623.62      | 0.00%             | 2037-06-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-15                                               | FANNIE MAE FNR 2002 15 FA                               | CUSIP: 31392CKL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5714 | PA      | $5718.76      | 0.00%             | 2032-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A      | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92993 | PA      | $93489.44     | 0.05%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 789333 FH 04/32 FLOATING VAR          | CUSIP: 31295NLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26801 | PA      | $27364.53     | 0.02%             | 2032-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2115094 | PA      | $2037676.98   | 1.14%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                  | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 B2         | CUSIP: 92922FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150597 | PA      | $145492.75    | 0.08%             | 2033-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-318.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 1A            | CUSIP: 1266714L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080494 | PA      | $1068104.43   | 0.60%             | 2034-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                               | FANNIE MAE FNR 2000 34 F                                | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7981 | PA      | $7917.73      | 0.00%             | 2030-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A     | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61635 | PA      | $58199.34     | 0.03%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4697 FN 08/42 FIXED 4                       | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49735 | PA      | $48643.84     | 0.03%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080364 G2 01/30 FLOATING VAR               | CUSIP: 36225CMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       896 | PA      | $896.20       | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.00000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-84190.47    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2209 | PA      | $2301.80      | 0.00%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.12 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $46622.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6700000 | PA      | $-5401761.84  | -3.02%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 651074 FN 06/32 FLOATING VAR                  | CUSIP: 31390NJT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2007 | PA      | $2008.65      | 0.00%             | 2032-06-01      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS USD SOFR/1.76500 03/16/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-11249.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 563497 FN 11/40 FLOATING VAR                  | CUSIP: 31386G7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064 | PA      | $1063.35      | 0.00%             | 2040-11-01      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1          | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51525 | PA      | $51428.66     | 0.03%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G1477 FH 01/37 FLOATING VAR          | CUSIP: 3128QJUA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1641 | PA      | $1683.49      | 0.00%             | 2037-01-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A      | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194286 | PA      | $194890.52    | 0.11%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711377 | PA      | $696255.11    | 0.39%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.18500 04/21/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24371.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555255 FN 04/40 FLOATING VAR                  | CUSIP: 31385WZU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50563 | PA      | $51852.84     | 0.03%             | 2040-04-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $781223.09    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 879385 FN 12/35 FLOATING VAR                  | CUSIP: 31409U6W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    133027 | PA      | $136123.41    | 0.08%             | 2035-12-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 764394 FN 03/34 FLOATING VAR                  | CUSIP: 31404CGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    163084 | PA      | $164133.07    | 0.09%             | 2034-03-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                               | FANNIE MAE FNR 1999 37 F                                | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3458 | PA      | $3447.11      | 0.00%             | 2029-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 468927 FN 08/26 FIXED 4.766                   | CUSIP: 31381R4L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    366600 | PA      | $368455.29    | 0.21%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                       | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $801328.14    | 0.45%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 782422 FH 09/34 FLOATING VAR          | CUSIP: 31349TVP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80670 | PA      | $82765.90     | 0.05%             | 2034-09-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 793028 FN 07/34 FLOATING VAR                  | CUSIP: 31405MA56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18417 | PA      | $18916.54     | 0.01%             | 2034-07-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.3* 9/22/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $39333.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 834931 FN 07/35 FLOATING VAR                  | CUSIP: 31407MSU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1539 | PA      | $1555.65      | 0.00%             | 2035-07-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6700000 | PA      | $6640962.28   | 3.71%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1J2948 FH 09/37 FLOATING VAR          | CUSIP: 3128NKHZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    178478 | PA      | $178141.63    | 0.10%             | 2037-09-01      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXV LTD                                    | MADISON PARK FUNDING LTD MDPK 2019 35A A1R 144A         | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1515994 | PA      | $1519017.65   | 0.85%             | 2032-04-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0304A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13100000 | PA      | $12550219.07  | 7.01%             | 2040-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                 | FREDDIE MAC FHR 2177 FA                                 | CUSIP: 3133TLPG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3973 | PA      | $3970.21      | 0.00%             | 2029-08-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST                                    | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2003 2 3A3           | CUSIP: 29445FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22532 | PA      | $22453.53     | 0.01%             | 2033-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NSLT-2021-BA                                                     | NELNET STUDENT LOAN TRUST NSLT 2021 BA AFX 144A         | CUSIP: 64034QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1127918 | PA      | $1067537.14   | 0.60%             | 2062-04-20      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2                    | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1879 | PA      | $1948.80      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-195236.12   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 12/21/16-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $224688.64    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13113 | PA      | $12348.67     | 0.01%             | 2034-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2004-FL1                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2004 FL1 2A1       | CUSIP: 32051GDX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45626 | PA      | $43728.71     | 0.02%             | 2035-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745167 FN 01/36 FLOATING VAR                  | CUSIP: 31403CZ87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       408 | PA      | $417.40       | 0.00%             | 2036-01-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 5A1              | CUSIP: 466247K77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2331 | PA      | $2308.83      | 0.00%             | 2033-11-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 2A1        | CUSIP: 12667G5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7009 | PA      | $5565.77      | 0.00%             | 2035-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A2 144A    | CUSIP: 85573EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53917 | PA      | $51538.20     | 0.03%             | 2055-11-25      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W15                                    | FANNIEMAE WHOLE LOAN FNW 2004 W15 1A1                   | CUSIP: 31394BZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9223 | PA      | $9494.85      | 0.01%             | 2044-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2003-2                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2003 2 A2           | CUSIP: 83611MAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1753 | PA      | $2166.22      | 0.00%             | 2033-11-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| INDYMAC HOME EQUITY LOAN 2002-A                                  | INDYMAC HOME EQUITY LOAN ASSET INHEL 2002 A AF4         | CUSIP: 43708AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183150 | PA      | $182344.37    | 0.10%             | 2033-05-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL FS4580 FN 02/43 FIXED VAR                     | CUSIP: 3140XLCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28439 | PA      | $27815.29     | 0.02%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 789151 FH 03/32 FLOATING VAR          | CUSIP: 31295NEY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10583 | PA      | $10824.68     | 0.01%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                  | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    749674 | PA      | $684192.80    | 0.38%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31914 | PA      | $23701.05     | 0.01%             | 2035-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3021.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 7/15/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $513896.67    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 655202 FN 05/32 FLOATING VAR                  | CUSIP: 31390S3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1710 | PA      | $1716.97      | 0.00%             | 2032-05-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 904688 FN 12/36 FLOATING VAR                  | CUSIP: 31411DCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1331 | PA      | $1374.75      | 0.00%             | 2036-12-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 3A3         | CUSIP: 07384MC75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21280 | PA      | $19751.22     | 0.01%             | 2034-02-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 2003-AR3                               | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR3 A1         | CUSIP: 86358HUT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8530 | PA      | $8372.84      | 0.00%             | 2033-11-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2       | CUSIP: 939335N84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170 | PA      | $169.05       | 0.00%             | 2031-02-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 393306 FN 11/26 FLOATING VAR                  | CUSIP: 31378A3P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6849 | PA      | $6855.97      | 0.00%             | 2026-11-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 810896 FN 01/35 FLOATING VAR                  | CUSIP: 31406H3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11104 | PA      | $11403.25     | 0.01%             | 2035-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $89092.17     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13500000 | PA      | $13086458.42  | 7.30%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 897600 FN 11/36 FLOATING VAR                  | CUSIP: 31410UGH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110244 | PA      | $111286.84    | 0.06%             | 2036-11-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A        | CUSIP: 939336P80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10857 | PA      | $11281.10     | 0.01%             | 2034-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                | AG TRUST AG 2024 NLP A 144A                             | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427649 | PA      | $429765.38    | 0.24%             | 2041-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                             | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295619 | PA      | $296013.39    | 0.17%             | 2047-12-26      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-47                                               | FANNIE MAE FNR 2000 47 FD                               | CUSIP: 31358SH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5376 | PA      | $5368.53      | 0.00%             | 2030-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC. CORP 2002-AR28                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR28 1A2       | CUSIP: 22541NNN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3611 | PA      | $3539.93      | 0.00%             | 2032-11-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.68000 07/11/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-20842.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST 2019-C16                         | CSAIL COMMERCIAL MORTGAGE TRUS CSAIL 2019 C16 A3        | CUSIP: 12596WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $193092.98    | 0.11%             | 2052-06-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                  | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1634532 | PA      | $1497245.46   | 0.84%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 4A2          | CUSIP: 576433GH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3289 | PA      | $3222.64      | 0.00%             | 2034-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1              | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12 | PA      | $11.41        | 0.00%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5683.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL G04621 FG 05/35 FIXED 6               | CUSIP: 3128M6PE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7362 | PA      | $7580.23      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 688561 FN 03/33 FLOATING VAR                  | CUSIP: 31400H5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47180 | PA      | $48267.31     | 0.03%             | 2033-03-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2             | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109972 | PA      | $99456.99     | 0.06%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-8                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 8 5A1          | CUSIP: 576433QU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61901 | PA      | $60891.25     | 0.03%             | 2034-08-25      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                               | US TREASURY N/B 11/52 4                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2035859.38   | 1.14%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                          | REACH FINANCIAL LLC REACH 2024 1A A 144A                | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65024 | PA      | $65119.81     | 0.04%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 817290 FN 06/35 FLOATING VAR                  | CUSIP: 31406Q7B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12410 | PA      | $12474.08     | 0.01%             | 2035-06-01      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                       | PRP ADVISORS, LLC PRPM 2024 RCF4 A1 144A                | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    722690 | PA      | $713209.51    | 0.40%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5257.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                  | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3105 | PA      | $3121.55      | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 02/02/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-34863.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                 | FREDDIE MAC FHR 2417 FY                                 | CUSIP: 31339D7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4730 | PA      | $4724.82      | 0.00%             | 2031-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0207 G2 02/55 FIXED 6.5                  | CUSIP: 3618N5GR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99991 | PA      | $102776.94    | 0.06%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H 3A1         | CUSIP: 05948XTL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44215 | PA      | $41253.88     | 0.02%             | 2033-09-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 844214 FN 11/35 FLOATING VAR                  | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10439 | PA      | $10606.57     | 0.01%             | 2035-11-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A    | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $884758.05    | 0.49%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 545010 FN 05/36 FLOATING VAR                  | CUSIP: 31385HN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4804 | PA      | $4747.88      | 0.00%             | 2036-05-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA3333 G2 12/45 FLOATING VAR               | CUSIP: 36179RV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62924 | PA      | $64842.34     | 0.04%             | 2045-12-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 879090 FN 05/36 FLOATING VAR                  | CUSIP: 31409UUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10923 | PA      | $11164.46     | 0.01%             | 2036-05-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 687868 FN 03/33 FLOATING VAR                  | CUSIP: 31400HFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       347 | PA      | $352.43       | 0.00%             | 2033-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 701312 FN 08/33 FLOATING VAR                  | CUSIP: 31400YDR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4250 | PA      | $4336.59      | 0.00%             | 2033-08-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-3 LLC                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 3 A2 144A       | CUSIP: 29375UAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $905241.06    | 0.51%             | 2028-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A3       | CUSIP: 939336X81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361070 | PA      | $358456.47    | 0.20%             | 2045-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                  | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3943 | PA      | $3868.59      | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2018-B7                                 | BENCHMARK MORTGAGE TRUST BMARK 2018 B7 A2               | CUSIP: 08162TAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872975 | PA      | $871361.96    | 0.49%             | 2053-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A     | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    695869 | PA      | $701437.78    | 0.39%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR18                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR18 3A1       | CUSIP: 22541QFE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186690 | PA      | $182043.78    | 0.10%             | 2033-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H1238 FH 12/34 FLOATING VAR          | CUSIP: 3128NGBF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1124 | PA      | $1164.39      | 0.00%             | 2034-12-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                  | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87389 | PA      | $79755.63     | 0.04%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                          | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A          | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $200316.31    | 0.11%             | 2034-08-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-2A                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 2A A2 144A    | CUSIP: 78398HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $852362.32    | 0.48%             | 2028-11-20      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 711968 FN 05/33 FLOATING VAR                  | CUSIP: 31401L6D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9316 | PA      | $9523.73      | 0.01%             | 2033-05-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.05000 09/08/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4754.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA5                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA5 1A1       | CUSIP: 32051GPJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59740 | PA      | $30993.98     | 0.02%             | 2035-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.50 7/05/23-8Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-61976.34    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 694703 FN 04/33 FLOATING VAR                  | CUSIP: 31400QX81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3662 | PA      | $3719.76      | 0.00%             | 2033-04-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-36713.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2019-CA                               | NAVIENT STUDENT LOAN TRUST NAVSL 2019 CA A2 144A        | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113288 | PA      | $111940.54    | 0.06%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55768 | PA      | $56155.21     | 0.03%             | 2044-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.47000 02/22/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-412.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G1748 FH 09/35 FLOATING VAR          | CUSIP: 3128QJ5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $535.14       | 0.00%             | 2035-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 737652 FN 09/33 FLOATING VAR                  | CUSIP: 31402TQD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20483 | PA      | $20773.44     | 0.01%             | 2033-09-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-35719.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5188 FR 10/42 FIXED 4               | CUSIP: 3133KYXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12812 | PA      | $12530.66     | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0731 FH 02/36 FLOATING VAR          | CUSIP: 3128NCY40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2323 | PA      | $2384.22      | 0.00%             | 2036-02-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.67951 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $92869.33     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A    | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $897750.00    | 0.50%             | 2042-10-15      | Floating      | 5.69%                 | No            |                  3 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.08000 02/23/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15452.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 872528 FN 06/36 FLOATING VAR                  | CUSIP: 31409JLH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5553 | PA      | $5704.34      | 0.00%             | 2036-06-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 781052 FH 11/33 FLOATING VAR          | CUSIP: 31349SEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23913 | PA      | $24474.19     | 0.01%             | 2033-11-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16271 | PA      | $15731.19     | 0.01%             | 2035-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL AM5447 FN 03/30 FIXED 4.06                    | CUSIP: 3138L6BR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    408020 | PA      | $408192.05    | 0.23%             | 2030-03-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $901284.75    | 0.50%             | 2065-06-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888143 FN 01/37 FLOATING VAR                  | CUSIP: 31410FWC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       864 | PA      | $886.16       | 0.00%             | 2037-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1885                                                 | FREDDIE MAC FHR 1885 FA                                 | CUSIP: 3133T83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       421 | PA      | $421.13       | 0.00%             | 2026-09-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $18761.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                       | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7384 | PA      | $7178.49      | 0.00%             | 2027-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2557                                                 | FREDDIE MAC FHR 2557 WF                                 | CUSIP: 31393JPL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15271 | PA      | $15224.08     | 0.01%             | 2033-01-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.0* 8/09/23-9Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $30728.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9823 | PA      | $10000.35     | 0.01%             | 2035-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.2* 9/17/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2516623.78   | 1.40%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21         | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66813 | PA      | $46623.23     | 0.03%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-18918.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 944510 FN 07/37 FLOATING VAR                  | CUSIP: 31413FYF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14319 | PA      | $14771.39     | 0.01%             | 2037-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 703979 FN 05/33 FLOATING VAR                  | CUSIP: 31401CCQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1518 | PA      | $1534.58      | 0.00%             | 2033-05-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A3        | CUSIP: 12667GL92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758286 | PA      | $724333.05    | 0.40%             | 2035-08-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725013 FN 04/33 FLOATING VAR                  | CUSIP: 31402CN65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58959 | PA      | $60888.36     | 0.03%             | 2033-04-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-3                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 2A2         | CUSIP: 07384MUM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72 | PA      | $63.71        | 0.00%             | 2033-05-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4610.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1968                                                 | FREDDIE MAC FHR 1968 FC                                 | CUSIP: 3133TAC42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1300 | PA      | $1299.43      | 0.00%             | 2026-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1K1226 FH 02/36 FLOATING VAR          | CUSIP: 3128NVLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       750 | PA      | $771.94       | 0.00%             | 2036-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $591.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2891.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST                                              | MFRA TRUST MFRA 2020 NQM3 A1 144A                       | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304736 | PA      | $290119.56    | 0.16%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGE TRUST 2006-2                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 2 3A1          | CUSIP: 576438AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11248 | PA      | $10923.93     | 0.01%             | 2036-01-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847038 FH 01/30 FLOATING VAR          | CUSIP: 3128HDZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22985 | PA      | $23110.90     | 0.01%             | 2030-01-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555177 FN 01/33 FLOATING VAR                  | CUSIP: 31385WXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1305 | PA      | $1336.80      | 0.00%             | 2033-01-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                     | FANNIEMAE WHOLE LOAN FNW 2003 W6 6A                     | CUSIP: 31393BW76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5959 | PA      | $5876.71      | 0.00%             | 2042-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    179324 | PA      | $164758.62    | 0.09%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                 | FREDDIE MAC FHR 2395 FA                                 | CUSIP: 31339LN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8572 | PA      | $8568.17      | 0.00%             | 2029-06-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-1                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 1 1A                   | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6122 | PA      | $5773.22      | 0.00%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2020-1                        | ELLINGTON FINANCIAL MORTGAGE T EFMT 2020 1 A1 144A      | CUSIP: 31574PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3685 | PA      | $3669.21      | 0.00%             | 2065-05-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-2F                                  | GSR MORTGAGE LOAN TRUST GSR 2004 2F 4A1                 | CUSIP: 36229RLG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22581 | PA      | $22498.16     | 0.01%             | 2034-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 828735 FN 11/33 FLOATING VAR                  | CUSIP: 31407EV42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74968 | PA      | $76539.61     | 0.04%             | 2033-11-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       951 | PA      | $976.93       | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $114608.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 888304 FN 04/37 FLOATING VAR                  | CUSIP: 31410F3M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       806 | PA      | $814.46       | 0.00%             | 2037-04-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-97923.16    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4053.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1220510.03   | 0.68%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 834918 FN 07/35 FLOATING VAR                  | CUSIP: 31407MSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3310 | PA      | $3407.15      | 0.00%             | 2035-07-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14886.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-1A                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 1A A2 144A        | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568238 | PA      | $569107.18    | 0.32%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                      | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A            | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    384711 | PA      | $385083.34    | 0.21%             | 2038-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $113340.99    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -400000 | PA      | $-376944.98   | -0.21%            | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-87040.14    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A6              | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58655 | PA      | $57895.98     | 0.03%             | 2035-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 813599 FN 01/36 FLOATING VAR                  | CUSIP: 31406L3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28306 | PA      | $29081.86     | 0.02%             | 2036-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2025-1A                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2025 1A A2A 144A   | CUSIP: 73329KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $702348.15    | 0.39%             | 2027-12-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A1           | CUSIP: 14320BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $400063.20    | 0.22%             | 2026-10-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1               | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3136 | PA      | $2837.91      | 0.00%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    792176 | PA      | $792797.16    | 0.44%             | 2032-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2025 2A A2A 144A   | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $902821.95    | 0.50%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2003-3                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 3 1A1          | CUSIP: 576433DY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78473 | PA      | $78940.79     | 0.04%             | 2033-09-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-I                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 4A1         | CUSIP: 05949CHX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6137 | PA      | $6156.23      | 0.00%             | 2035-10-25      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2115                                                 | FREDDIE MAC FHR 2115 C                                  | CUSIP: 3133THXQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $145.79       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 745061 FN 03/35 FLOATING VAR                  | CUSIP: 31403CWW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27298 | PA      | $27753.78     | 0.02%             | 2035-03-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080030 G2 01/27 FLOATING VAR               | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13247 | PA      | $13250.43     | 0.01%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14370.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626072 | PA      | $1572517.90   | 0.88%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-16                           | FHLMC STRUCTURED PASS THROUGH FSPC T 16 A               | CUSIP: 3133TKPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37982 | PA      | $36817.77     | 0.02%             | 2029-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908440 | PA      | $816428.29    | 0.46%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.37000 03/01/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3106.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1K1255 FH 11/36 FLOATING VAR          | CUSIP: 3128NVMC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1524 | PA      | $1573.35      | 0.00%             | 2036-11-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                               | PRP ADVISORS, LLC PRPM 2024 RCF5 A1 144A                | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    717792 | PA      | $708120.65    | 0.40%             | 2054-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                  | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200001 | PA      | $205652.00    | 0.11%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 12A5       | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15318 | PA      | $14837.15     | 0.01%             | 2035-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2018-EA                               | NAVIENT STUDENT LOAN TRUST NAVSL 2018 EA A2 144A        | CUSIP: 63890BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226110 | PA      | $225855.96    | 0.13%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.67444 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $66125.92     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1        | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19090 | PA      | $8076.21      | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-6A                                | STRUCTURED ASSET SECURITIES CO SASC 2003 6A 2A1         | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62157 | PA      | $61387.58     | 0.03%             | 2033-03-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TR 2004-T1                                    | FANNIEMAE GRANTOR TRUST FNGT 2004 T1 1A2                | CUSIP: 31393XFT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    111434 | PA      | $114760.23    | 0.06%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $638.57       | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A1 144A   | CUSIP: 36261WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1957050 | PA      | $1841811.36   | 1.03%             | 2060-12-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7A        | CUSIP: 576433WL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17670 | PA      | $17081.21     | 0.01%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.2* 9/15/23-3Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5757.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-D                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 D A               | CUSIP: 589929V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92342 | PA      | $86628.42     | 0.05%             | 2028-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3124472 | PA      | $1258518.71   | 0.70%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080635 G2 09/32 FLOATING VAR               | CUSIP: 36225CV52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15123 | PA      | $15331.72     | 0.01%             | 2032-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-16055.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA3128 G2 09/45 FLOATING VAR               | CUSIP: 36179RPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66765 | PA      | $68226.95     | 0.04%             | 2045-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-34                                               | FANNIE MAE FNR 2002 34 FE                               | CUSIP: 31392CQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3537 | PA      | $3533.87      | 0.00%             | 2032-05-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 770377 FN 04/34 FLOATING VAR                  | CUSIP: 31404J2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3627 | PA      | $3675.47      | 0.00%             | 2034-04-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34363.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.52500 03/02/23-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $137.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 783599 FN 04/35 FLOATING VAR                  | CUSIP: 31405ARU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3973 | PA      | $4085.19      | 0.00%             | 2035-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                 | NMLT TRUST NLT 2023 1 A1 144A                           | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    814726 | PA      | $743668.75    | 0.42%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    850000 | PA      | $853018.75    | 0.48%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 2A1          | CUSIP: 576433GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10593 | PA      | $9867.31      | 0.01%             | 2033-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1711 | PA      | $1660.93      | 0.00%             | 2033-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    833641 | PA      | $808099.79    | 0.45%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-14417.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2490                                                 | FREDDIE MAC FHR 2490 FB                                 | CUSIP: 31392RUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       696 | PA      | $695.85       | 0.00%             | 2026-07-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                              | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1152 | PA      | $1127.46      | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2150000 | PA      | $-1963986.58  | -1.10%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 783061 FH 03/35 FLOATING VAR          | CUSIP: 31349UMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8754 | PA      | $9074.90      | 0.01%             | 2035-03-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 390232 FH 01/30 FLOATING VAR          | CUSIP: 31346VHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9607 | PA      | $9427.38      | 0.01%             | 2030-01-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-4                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 4 3A1          | CUSIP: 007036DN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9144 | PA      | $9013.25      | 0.01%             | 2035-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.9 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 776887 FN 02/34 FLOATING VAR                  | CUSIP: 31404SCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27032 | PA      | $27108.00     | 0.02%             | 2034-02-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MA2983 G2 07/45 FLOATING VAR               | CUSIP: 36179RJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     58550 | PA      | $59825.08     | 0.03%             | 2045-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18807 | PA      | $17301.51     | 0.01%             | 2046-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 1A          | CUSIP: 59020UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17654 | PA      | $15426.12     | 0.01%             | 2034-02-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 772734 FN 03/34 FLOATING VAR                  | CUSIP: 31404MPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34266 | PA      | $35138.76     | 0.02%             | 2034-03-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL QE1302 FR 05/52 FIXED 3               | CUSIP: 3133BANT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    191471 | PA      | $168551.54    | 0.09%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-25                                   | COUNTRYWIDE HOME LOANS CWHL 2005 25 A11                 | CUSIP: 126694HQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66751 | PA      | $30579.93     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | OIS USD SOFR/1.73000 02/24/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-46127.55    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 814952 FN 04/35 FLOATING VAR                  | CUSIP: 31406NL93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1502 | PA      | $1535.90      | 0.00%             | 2035-04-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 811925 FN 04/35 FLOATING VAR                  | CUSIP: 31406KA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       314 | PA      | $323.23       | 0.00%             | 2035-04-01      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-65                                               | FANNIE MAE FNR 1997 65 FK                               | CUSIP: 31359QF33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2160 | PA      | $2158.98      | 0.00%             | 2027-09-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                         | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109514 | PA      | $107545.64    | 0.06%             | 2033-06-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3090922.81   | 1.73%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-GA                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 GA A 144A         | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    392112 | PA      | $368308.76    | 0.21%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4374.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BV8509 FN 05/52 FIXED 3                       | CUSIP: 3140MNN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    325664 | PA      | $287018.41    | 0.16%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555476 FN 04/33 FLOATING VAR                  | CUSIP: 31385XCM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $249.97       | 0.00%             | 2033-04-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1980                                                 | FREDDIE MAC FHR 1980 Z                                  | CUSIP: 3133TAG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1325 | PA      | $1333.80      | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A     | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875014 | PA      | $844558.38    | 0.47%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 825398 FN 07/35 FLOATING VAR                  | CUSIP: 31407A7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7071 | PA      | $7326.24      | 0.00%             | 2035-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A3           | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $804051.68    | 0.45%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                   | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A               | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $676089.60    | 0.38%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                     | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A            | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    845438 | PA      | $846663.65    | 0.47%             | 2034-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-56                              | FHLMC STRUCTURED PASS THROUGH FSPC T 56 2AF             | CUSIP: 31393RG38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    572294 | PA      | $547379.26    | 0.31%             | 2043-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 748643 FN 09/33 FLOATING VAR                  | CUSIP: 31403GWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11554 | PA      | $11723.12     | 0.01%             | 2033-09-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-BA   | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 BA A2 144A    | CUSIP: 858933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1104816.90   | 0.62%             | 2028-05-22      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                               | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001708.77   | 0.56%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 09/17/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $159.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2024-4                        | HONDA AUTO RECEIVABLES OWNER T HAROT 2024 4 A3          | CUSIP: 43816DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $804671.68    | 0.45%             | 2029-05-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                              | MFRA TRUST MFRA 2024 RPL1 A1 144A                       | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873463 | PA      | $840213.95    | 0.47%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A1 144A    | CUSIP: 85573EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107674 | PA      | $102574.26    | 0.06%             | 2055-11-25      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080317 G2 09/29 FLOATING VAR               | CUSIP: 36225CK70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9632 | PA      | $9653.72      | 0.01%             | 2029-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                               | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92021 | PA      | $92163.66     | 0.05%             | 2059-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A3           | CUSIP: 14320BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $500071.20    | 0.28%             | 2030-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1        | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5105 | PA      | $1816.12      | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.10 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $10117.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 555051 FN 11/32 FLOATING VAR                  | CUSIP: 31385WTG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1173.06      | 0.00%             | 2032-11-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A          | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33512 | PA      | $33622.20     | 0.02%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.5* 7/19/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1374869.37  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                          | BCAP LLC TRUST BCAP 2010 RR3 4A5 144A                   | CUSIP: 05532WBS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381364 | PA      | $161820.36    | 0.09%             | 2036-02-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1J0305 FH 02/37 FLOATING VAR          | CUSIP: 3128LUKS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1899 | PA      | $1949.99      | 0.00%             | 2037-02-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2004-FL1                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2004 FL1 1A1       | CUSIP: 32051GDV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21241 | PA      | $19661.25     | 0.01%             | 2035-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 780840 FN 06/34 FLOATING VAR                  | CUSIP: 31404WPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       761 | PA      | $773.54       | 0.00%             | 2034-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 1A2         | CUSIP: 07384MB27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103846 | PA      | $98396.90     | 0.05%             | 2034-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                      | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $806841.68    | 0.45%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-C                                | CPS AUTO TRUST CPS 2024 C A 144A                        | CUSIP: 223920AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22585 | PA      | $22645.81     | 0.01%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                       | LCM LTD PARTNERSHIP LCM 36A A1R 144A                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003219.44   | 0.56%             | 2034-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H1289 FH 09/35 FLOATING VAR          | CUSIP: 3128NGC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32066 | PA      | $32917.84     | 0.02%             | 2035-09-01      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 670911 FN 12/32 FLOATING VAR                  | CUSIP: 31391MKY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2271 | PA      | $2278.79      | 0.00%             | 2032-12-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR          | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1185 | PA      | $1217.07      | 0.00%             | 2035-08-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 789276 FH 04/32 FLOATING VAR          | CUSIP: 31295NJV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5196 | PA      | $5308.30      | 0.00%             | 2032-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 462300 FN 10/35 FLOATING VAR                  | CUSIP: 31381JRV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51441 | PA      | $51994.31     | 0.03%             | 2035-10-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    152751 | PA      | $142232.49    | 0.08%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL MA4779 FN 10/42 FIXED 4                       | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1912 | PA      | $1870.27      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 847427 FH 09/34 FLOATING VAR          | CUSIP: 3128JRHC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2633 | PA      | $2686.90      | 0.00%             | 2034-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP BOA                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9934.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 313783 FN 05/36 FLOATING VAR                  | CUSIP: 31374GRC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11281 | PA      | $11170.46     | 0.01%             | 2036-05-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 4 A1 144A           | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180544 | PA      | $177040.00    | 0.10%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A    | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $887022.09    | 0.50%             | 2038-04-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2019-B                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2019 B A2A 144A      | CUSIP: 83192CAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157760 | PA      | $154923.73    | 0.09%             | 2037-06-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2006-A                                    | SLM STUDENT LOAN TRUST SLMA 2006 A A5                   | CUSIP: 78443CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1811219 | PA      | $1740059.95   | 0.97%             | 2039-06-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST 2024-4                        | HONDA AUTO RECEIVABLES OWNER T HAROT 2024 4 A2          | CUSIP: 43816DAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442497 | PA      | $443018.78    | 0.25%             | 2027-03-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 008913 G2 07/26 FLOATING VAR               | CUSIP: 36202K3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $255.32       | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $962103.85    | 0.54%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1G0778 FH 03/36 FLOATING VAR          | CUSIP: 3128NC2K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53909 | PA      | $55795.62     | 0.03%             | 2036-03-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 2A1A              | CUSIP: 12669GA76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30830 | PA      | $29336.65     | 0.02%             | 2035-06-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A6 1A          | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3670 | PA      | $3556.91      | 0.00%             | 2033-09-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 2A1          | CUSIP: 576433PQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162842 | PA      | $160817.82    | 0.09%             | 2034-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-27116.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-INV1                    | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 INV1 A3 144A    | CUSIP: 85573EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53917 | PA      | $51568.28     | 0.03%             | 2055-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 462406 FN 09/37 FLOATING VAR                  | CUSIP: 31381JU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118090 | PA      | $119702.27    | 0.07%             | 2037-09-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A    | CUSIP: 78449VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    472786 | PA      | $446467.39    | 0.25%             | 2054-09-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 826428 FN 07/35 FLOATING VAR                  | CUSIP: 31407CD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       323 | PA      | $327.98       | 0.00%             | 2035-07-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2025-4A LTD                                      | ATLANTIC AVENUE LTD MCCP 2025 4A A 144A                 | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900000.00    | 0.50%             | 2038-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                     | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47140 | PA      | $47366.87     | 0.03%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/2.69000 07/11/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-20592.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                              | FANNIE MAE FNR 2006 118 A2                              | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25461 | PA      | $25031.70     | 0.01%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                  | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                 | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802244 | PA      | $811206.38    | 0.45%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-1                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 1 A2            | CUSIP: 262102AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1405908 | PA      | $1409232.28   | 0.79%             | 2028-08-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 620061 FN 11/27 FLOATING VAR                  | CUSIP: 31389AZ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       374 | PA      | $370.24       | 0.00%             | 2027-11-01      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 545204 FN 05/36 FLOATING VAR                  | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10935 | PA      | $10803.78     | 0.01%             | 2036-05-01      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-24586.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A   | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $875867.07    | 0.49%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296217 | PA      | $1250185.61   | 0.70%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 4A1       | CUSIP: 22541QUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6988 | PA      | $6864.57      | 0.00%             | 2033-10-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A3        | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2366 | PA      | $2365.06      | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 1H2581 FH 01/36 FLOATING VAR          | CUSIP: 3128QLRA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5004 | PA      | $5192.04      | 0.00%             | 2036-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1        | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350869 | PA      | $334101.22    | 0.19%             | 2035-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.57234 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $84066.62     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.00000 06/21/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5777.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 804437 FN 12/34 FLOATING VAR                  | CUSIP: 31406AV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19122 | PA      | $19445.65     | 0.01%             | 2034-12-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080685 G2 04/33 FLOATING VAR               | CUSIP: 36225CXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12330 | PA      | $12329.42     | 0.01%             | 2033-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36309 | PA      | $34836.19     | 0.02%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-1                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 1 3A2          | CUSIP: 576433JG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134235 | PA      | $120666.44    | 0.07%             | 2034-02-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 654159 FN 10/32 FLOATING VAR                  | CUSIP: 31390RWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5160 | PA      | $5210.31      | 0.00%             | 2032-10-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                             | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A     | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    819245 | PA      | $811423.80    | 0.45%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 1A1         | CUSIP: 05949AGR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9972 | PA      | $9811.02      | 0.01%             | 2034-06-25      | Fixed         | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 725212 FN 03/33 FLOATING VAR                  | CUSIP: 31402CVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7836 | PA      | $8027.08      | 0.00%             | 2033-03-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     93732 | PA      | $93016.96     | 0.05%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | CMBX.NA.AAA.6 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $0.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BJ2470 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3W85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12317 | PA      | $11400.11     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A    | CUSIP: 17307GY69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27084 | PA      | $26385.11     | 0.01%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2526                                                 | FREDDIE MAC FHR 2526 FC                                 | CUSIP: 31393FGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3981 | PA      | $3969.28      | 0.00%             | 2032-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7733.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-2A                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 2A A2 144A        | CUSIP: 505912AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $801510.40    | 0.45%             | 2028-07-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 782451 FH 10/34 FLOATING VAR          | CUSIP: 31349TWL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102 | PA      | $104.88       | 0.00%             | 2034-10-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -31 | NC      | $-80691.24    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL 972146 FH 04/34 FLOATING VAR          | CUSIP: 31336CL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21531 | PA      | $22096.72     | 0.01%             | 2034-04-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL 080524 G2 07/31 FLOATING VAR               | CUSIP: 36225CSN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59049 | PA      | $59212.91     | 0.03%             | 2031-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1       | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7900 | PA      | $7953.28      | 0.00%             | 2030-11-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 806770 FN 11/34 FLOATING VAR                  | CUSIP: 31406DJP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20909 | PA      | $21132.92     | 0.01%             | 2034-11-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                            | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4               | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43850 | PA      | $42887.67     | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | RFR USD SOFR/3.75000 12/17/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $492.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C49                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2019 C49 A5         | CUSIP: 95001WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $296807.82    | 0.17%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                    | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A1                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2260 | PA      | $2259.46      | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 4A1                  | CUSIP: 36242DBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10423 | PA      | $9739.49      | 0.01%             | 2034-08-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL BM5099 FN 07/48 FIXED VAR                     | CUSIP: 3140J9UZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    326567 | PA      | $301531.44    | 0.17%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 824153 FN 06/34 FLOATING VAR                  | CUSIP: 31406YTJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44651 | PA      | $45969.95     | 0.03%             | 2034-06-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                 | FREDDIE MAC FHR 2400 FQ                                 | CUSIP: 31339NC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       450 | PA      | $449.47       | 0.00%             | 2032-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-124                                              | FANNIE MAE FNR 2003 124 F                               | CUSIP: 31393USE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4522 | PA      | $4496.96      | 0.00%             | 2034-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3          | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21350 | PA      | $21702.01     | 0.01%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 681769 FN 01/33 FLOATING VAR                  | CUSIP: 31400AMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       799 | PA      | $813.17       | 0.00%             | 2033-01-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B          | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33512 | PA      | $33539.54     | 0.02%             | 2027-09-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1       | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13620 | PA      | $12222.07     | 0.01%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2248443 | PA      | $2249939.82   | 1.26%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900000.00    | 0.50%             | 2034-07-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                             | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                  | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99376 | PA      | $90672.36     | 0.05%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                             | FNMA POOL 940325 FN 02/35 FLOATING VAR                  | CUSIP: 31413BD65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59777 | PA      | $60789.48     | 0.03%             | 2035-02-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   1294381 | PA      | $12605979.64  | 7.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                         | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A            | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612940 | PA      | $612360.22    | 0.34%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                              | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -268 | NC      | $34222.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8553 | PA      | $8651.49      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer