# EDGAR Filing Document

**Accession Number:** 0000806564
**File Stem:** 0001752724-25-157600
**Filing Date:** 2025-6
**Character Count:** 291352
**Document Hash:** c9b23964774864d5a540ba2aadf4309e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-157600.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-157600

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY MORTGAGE SECURITIES TRUST
- **CENTRAL INDEX KEY:** 0000806564

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04917
- **FILM NUMBER:** 251076555

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 800-869-6397

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 20010618

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY DEAN WITTER FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19980622

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WITTER DEAN FEDERAL SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19930210

## Series and Classes Contracts Data

### Morgan Stanley Mortgage Securities Trust (Series ID: S000002467)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006611 | A            | MTGAX           |
| C000006613 | L            | MTGCX           |
| C000006614 | I            | MTGDX           |
| C000155975 | Class C      | MSMTX           |
| C000198813 | Class R6     | MORGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MORGAN STANLEY MORTGAGE SECURITIES TRUST

- **b. Investment Company Act file number:** 811-04917

- **c. CIK number of Registrant:** 0000806564

- **d. LEI of Registrant:** WKCEPKI1XKBG42N8NC94

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

  - **Street Address 1:** 1585 Broadway

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-869-6397

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

- **a. Name of Series:** Morgan Stanley Mortgage Securities Trust

- **b. EDGAR series identifier (if any):** S000002467

- **c. LEI of Series:** WKCEPKI1XKBG42N8NC94

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $771634946.58

**Total Liabilities:** $156512706.04

**Net Assets:** $615122240.54

**Delayed Delivery Securities:** $10540408.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -282.24000000 | **1-Year:** -3428.20000000 | **5-Year:** -3653.21000000 | **10-Year:** -6166.30000000 | **30-Year:** -7322.04000000

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

- **3-Month:** -1057.88000000 | **1-Year:** -8379.36000000 | **5-Year:** -17629.55000000 | **10-Year:** -14993.69000000 | **30-Year:** -2845.56000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000198813 | 2.03%                | 0.39%                | 0.63%                |
| Class ID C000006611 | 1.84%                | 0.48%                | 0.59%                |
| Class ID C000155975 | 1.92%                | 0.29%                | 0.53%                |
| Class ID C000006613 | 1.83%                | 0.45%                | 0.57%                |
| Class ID C000006614 | 1.89%                | 0.38%                | 0.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1281353.42              | $4822856.32                                |
| Month 2  | $2471148.09              | $-1304167.91                               |
| Month 3  | $-2640101.15             | $2606129.82                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** BBG_US_MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| HARVEST COMMERCIAL CAPITAL LOAN TRUST           | Harvest Commercial Capital Loan Trust 2019-1                             | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1326321.86   | 0.22%             | 2046-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296778 | PA      | $12992.59     | 0.00%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31383RFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $152.25       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56257 | PA      | $1109.06      | 0.00%             | 2041-11-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617VAGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826885 | PA      | $749341.77    | 0.12%             | 2071-03-20      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618AVMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457328 | PA      | $469236.12    | 0.08%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371RFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10436 | PA      | $10917.47     | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11210 | PA      | $10884.51     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1            | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3049327 | PA      | $2620607.99   | 0.43%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc       | Structured Asset Mortgage Investments II Trust 2005-AR2                  | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64229 | PA      | $57196.42     | 0.01%             | 2045-05-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31386TQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       827 | PA      | $865.12       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3            | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    555681 | PA      | $495216.44    | 0.08%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2005-3                                    | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548580 | PA      | $597845.22    | 0.10%             | 2035-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501175 | PA      | $14318.75     | 0.00%             | 2066-09-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust               | Real Estate Asset Liquidity Trust                                        | CUSIP: 75585RRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   7497260 | PA      | $183434.35    | 0.03%             | 2055-02-12      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13000000 | PA      | $12729336.10  | 2.07%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81998 | PA      | $78262.55     | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                                    | GAIA Aviation Ltd                                                        | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    482114 | PA      | $459574.32    | 0.07%             | 2044-12-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-1                                    | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2191951 | PA      | $2009837.56   | 0.33%             | 2062-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                     | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7259 | PA      | $7094.78      | 0.00%             | 2029-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BCNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192584 | PA      | $9474.14      | 0.00%             | 2042-08-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618K4DF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2741412 | PA      | $2694153.52   | 0.44%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization        | European Residential Loan Securitisation 2019-NPL1 DAC                   | CUSIP: 000000000<br>LEI: 635400NCOLE2BYYWTZ86 | Long             | ABS-O            | CORP              | IE        |   1293136 | PA      | $1466747.94   | 0.24%             | 2054-07-24      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140K8P62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111844 | PA      | $94892.92     | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $20288282.00  | 3.30%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BCNR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374234 | PA      | $20131.61     | 0.00%             | 2041-09-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B9FK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130933 | PA      | $7112.92      | 0.00%             | 2039-04-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7909 | PA      | $334.56       | 0.00%             | 2063-02-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320031 | PA      | $11412.96     | 0.00%             | 2065-04-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2            | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1478004 | PA      | $1262782.70   | 0.21%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51089 | PA      | $2805.63      | 0.00%             | 2060-02-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797LB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  17000000 | PA      | $16971461.45  | 2.76%             | 2025-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234718 | PA      | $10426.12     | 0.00%             | 2068-01-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45391 | PA      | $41254.03     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734909 | PA      | $37242.18     | 0.01%             | 2067-10-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    859246 | PA      | $741199.18    | 0.12%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1            | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    346065 | PA      | $326005.91    | 0.05%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BFBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53905 | PA      | $3444.91      | 0.00%             | 2041-10-15      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1482493 | PA      | $54116.67     | 0.01%             | 2065-02-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179WRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527650 | PA      | $491046.86    | 0.08%             | 2051-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239686 | PA      | $209268.09    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11407111 | PA      | $435163.48    | 0.07%             | 2069-10-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $3969140.50   | 0.65%             | 2055-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9383 | PA      | $8978.83      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $372526.52    | 0.06%             | 2055-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5063 | PA      | $5293.81      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SWAP CITIBANK BOC                               | SWAP CITIBANK BOC                                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |     -9000 | NS      | $-9000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AAA Trust                                       | Financial Asset Securities Corp AAA Trust 2005-1                         | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140366 | PA      | $137735.27    | 0.02%             | 2035-02-27      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities          | Natixis Commercial Mortgage Securities Trust 2019-10K                    | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $893149.70    | 0.15%             | 2039-05-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1            | CUSIP: 35563PAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    955807 | PA      | $825891.50    | 0.13%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities  | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10            | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470334 | PA      | $86680.81     | 0.01%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alba Plc                                        | Alba 2005-1 PLC                                                          | CUSIP: 000000000<br>LEI: 213800OGMHK8BKUJEY32 | Long             | ABS-MBS          | CORP              | GB        |    252175 | PA      | $325461.26    | 0.05%             | 2042-11-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2004-19                                  | CUSIP: 12669F4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168262 | PA      | $166894.49    | 0.03%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust  | Structured Adjustable Rate Mortgage Loan Trust Series 2005-4             | CUSIP: 863579MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155984 | PA      | $140207.45    | 0.02%             | 2035-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                       | EMF-NL Prime 2008-A BV                                                   | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |    200000 | PA      | $214117.70    | 0.03%             | 2041-04-17      | Floating      | 3.11%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                            | LHOME Mortgage Trust 2023-RTL4                                           | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1521182.55   | 0.25%             | 2028-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-3                                    | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2178794 | PA      | $2095456.54   | 0.34%             | 2062-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374342 | PA      | $12282.74     | 0.00%             | 2065-09-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378TAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365121 | PA      | $62718.67     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1288524 | PA      | $65486.85     | 0.01%             | 2069-11-20      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138ARHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50521 | PA      | $49959.08     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179U6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183463 | PA      | $165218.07    | 0.03%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136AQ7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673345 | PA      | $37523.79     | 0.01%             | 2046-03-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31385HQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4184 | PA      | $4362.25      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                            | Conn's Receivables Funding 2023-A LLC                                    | CUSIP: 20824CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2212239 | PA      | $2219543.85   | 0.36%             | 2028-01-17      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BWLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449923 | PA      | $461637.85    | 0.08%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Eurohome Mortgages PLC                          | Eurohome Mortgages PLC                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    141791 | PA      | $149285.58    | 0.02%             | 2050-08-02      | Floating      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618APTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99584 | PA      | $103390.52    | 0.02%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33533 | PA      | $2796.41      | 0.00%             | 2060-04-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2            | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476174 | PA      | $414080.14    | 0.07%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14981 | PA      | $930.76       | 0.00%             | 2061-04-20      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19844 | PA      | $4002.30      | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785931 | PA      | $19113.62     | 0.00%             | 2064-05-20      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust Resecuritization 2008-2R                 | CUSIP: 12544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60163 | PA      | $33578.48     | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34410 | PA      | $32926.26     | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1824085 | PA      | $1875000.34   | 0.30%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H12 LLC                                                        | CUSIP: 12530QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2758919.06   | 0.45%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                            | STAR 2024-SFR4 Trust                                                     | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1867523.20   | 0.30%             | 2041-10-17      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                   | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    892684 | PA      | $802520.18    | 0.13%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3431567 | PA      | $135613.46    | 0.02%             | 2067-05-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                   | MASTR Alternative Loan Trust 2003-3                                      | CUSIP: 576434DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52107 | PA      | $50069.37     | 0.01%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140XLYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4792093 | PA      | $4880042.69   | 0.79%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                              | Realkredit Danmark A/S                                                   | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  10835331 | PA      | $1636176.09   | 0.27%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                          | Sequoia Mortgage Trust 2007-4                                            | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52746 | PA      | $37689.98     | 0.01%             | 2036-01-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68111 | PA      | $66745.27     | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                      | ATLX 2024-RPL1 Trust                                                     | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1430238.00   | 0.23%             | 2064-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                     | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $60926.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2025-2 LLC                                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2009662.80   | 0.33%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1                     | Boston Lending Trust 2021-1                                              | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420717 | PA      | $1220654.35   | 0.20%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JLKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1151200 | PA      | $993232.80    | 0.16%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust 2021-1                     | Boston Lending Trust 2021-1                                              | CUSIP: 100842AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1157625 | PA      | $925654.84    | 0.15%             | 2061-07-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565002 | PA      | $536984.14    | 0.09%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                              | E-MAC Program II BV                                                      | CUSIP: 000000000<br>LEI: 724500E754K57OOQQ940 | Long             | ABS-MBS          | CORP              | NL        |     85578 | PA      | $91954.41     | 0.01%             | 2048-04-25      | Floating      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10045650 | PA      | $428258.73    | 0.07%             | 2066-08-20      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38385DJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781317 | PA      | $780627.59    | 0.13%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust                                  | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    552974 | PA      | $463633.59    | 0.08%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust | Bayview Financial Revolving Asset Trust 2005-E                           | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    837932 | PA      | $881684.65    | 0.14%             | 2040-12-28      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                          | GSAA Trust 2004-CW1                                                      | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169125 | PA      | $165720.02    | 0.03%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                         | Flagstar Mortgage Trust 2020-1NV                                         | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103821 | PA      | $82389.09     | 0.01%             | 2050-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196280 | PA      | $8815.13      | 0.00%             | 2068-02-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                   | Corevest American Finance 2020-4 Trust                                   | CUSIP: 21873AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1863322 | PA      | $28406.90     | 0.00%             | 2052-12-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378PFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242471 | PA      | $31113.36     | 0.01%             | 2043-12-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451955 | PA      | $20483.18     | 0.00%             | 2066-10-20      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535737 | PA      | $546225.90    | 0.09%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities Trust 2006-SD3                      | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23609 | PA      | $23466.72     | 0.00%             | 2036-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2021-RN3 LLC                                                        | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    874069 | PA      | $871328.62    | 0.14%             | 2051-09-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7749 | PA      | $7234.31      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                  | Finance of America HECM Buyout 2024-HB1                                  | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6156367.08   | 1.00%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2024-RM8                             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1698410 | PA      | $1657891.39   | 0.27%             | 2064-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UZJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4234403 | PA      | $241502.47    | 0.04%             | 2067-03-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468337 | PA      | $13420.72     | 0.00%             | 2067-06-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation             | Banc of America Funding 2007-5 Trust                                     | CUSIP: 059523AR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2244 | PA      | $2153.06      | 0.00%             | 2037-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities  | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR4           | CUSIP: 22541SFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180761 | PA      | $170315.40    | 0.03%             | 2034-05-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825370 | PA      | $22375.35     | 0.00%             | 2067-10-20      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JLER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644122 | PA      | $600029.51    | 0.10%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SWAPS BONY BOC USD                              | SWAPS BONY BOC USD SWAPS CASH COLLATERAL USD                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -270000 | NS      | $-270000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179X4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90912 | PA      | $92439.15     | 0.02%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A6JT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13303 | PA      | $13490.49     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK                              | Realkredit Danmark A/S                                                   | CUSIP: 000000000<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |  14985706 | PA      | $2243966.76   | 0.36%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Palatino SPV                                    | Palatino SPV                                                             | CUSIP: 000000000<br>LEI: 8156008628974A9F8838 | Long             | ABS-O            | CORP              | IT        |    824594 | PA      | $884372.60    | 0.14%             | 2045-12-01      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9926675.00   | 1.61%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                 | Fannie Mae Interest Strip                                                | CUSIP: 31364HQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4269 | PA      | $254.32       | 0.00%             | 2027-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42450 | PA      | $40516.44     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | Reperforming Loan REMIC Trust 2005-R2                                    | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42793 | PA      | $42394.61     | 0.01%             | 2035-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140KBZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184956 | PA      | $156924.10    | 0.03%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                | MASTR Asset Securitization Trust 2005-2                                  | CUSIP: 57643MLK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       912 | PA      | $858.08       | 0.00%             | 2025-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1080551 | PA      | $1033967.43   | 0.17%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58414 | PA      | $54453.35     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GEB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14656 | PA      | $14882.61     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                          | Argent Sec Inc Asset Backed Pas Thr Cer Ser 2003-WI                      | CUSIP: 040104AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130038 | PA      | $302674.06    | 0.05%             | 2033-12-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36176D5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43282 | PA      | $43999.26     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24936930.10  | 4.05%             | 2025-05-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1            | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2235066 | PA      | $1848077.36   | 0.30%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust 2023-1         | Newtek Small Business Loan Trust 2023-1                                  | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663810 | PA      | $671122.23    | 0.11%             | 2050-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                    | Eurosail-NL 2007-2 BV                                                    | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |    320831 | PA      | $362977.30    | 0.06%             | 2040-10-17      | Floating      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1187 | PA      | $35.66        | 0.00%             | 2061-10-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| STAR 2022-SFR3 Trust                            | STAR 2022-SFR3 Trust                                                     | CUSIP: 78474PAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2112106.08   | 0.34%             | 2039-05-17      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2024-RM2                                                            | CUSIP: 268431AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2934856 | PA      | $2804534.83   | 0.46%             | 2054-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3U51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53683 | PA      | $48622.85     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301593 | PA      | $4454.50      | 0.00%             | 2065-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract        | Lehman ABS Manufactured Housing Contract Trust 2001-B                    | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72239 | PA      | $72965.68     | 0.01%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119108 | PA      | $107263.10    | 0.02%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    592644 | PA      | $23466.87     | 0.00%             | 2063-06-20      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31389R3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       305 | PA      | $306.18       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                          | Nykredit Realkredit AS                                                   | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |  19368995 | PA      | $2966498.72   | 0.48%             | 2046-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1298512 | PA      | $75372.10     | 0.01%             | 2067-07-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB15 LLC                                                       | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1530716.60   | 0.25%             | 2034-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust             | Citigroup Commercial Mortgage Trust 2015-GC33                            | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610307 | PA      | $1536.07      | 0.00%             | 2058-09-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-BPNY                                                           | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3849057 | PA      | $3552508.36   | 0.58%             | 2026-08-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36261 | PA      | $32842.67     | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731921 | PA      | $751819.96    | 0.12%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC USA Inc                                    | HSBC USA Inc                                                             | CUSIP: 40434RAT9<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2903837.40   | 0.47%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MTG                  | CREDIT SUISSE FIRST BOSTON MTG                                           | CUSIP: 22540A3K2<br>LEI: 549300164ZV2301BC703 | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $861217.62    | 0.14%             | 2031-12-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25272 | PA      | $487.91       | 0.00%             | 2041-08-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Onity Loan Investment Trust 2024-HB2                                     | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2705855.10   | 0.44%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24490652.75  | 3.98%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Newtek Alternative Loan Program                 | NALP Business Loan Trust 2024-1                                          | CUSIP: 629863AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1727761 | PA      | $1755501.10   | 0.29%             | 2049-12-27      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97412 | PA      | $89462.22     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18371 | PA      | $18002.53     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1454817 | PA      | $1377624.73   | 0.22%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VHF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    327023 | PA      | $273963.05    | 0.04%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                  | BAHA Trust 2024-MAR                                                      | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697857 | PA      | $715142.92    | 0.12%             | 2041-12-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL4Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3453086 | PA      | $2950119.95   | 0.48%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC                     | Raptor Aircraft Finance I LLC                                            | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | KY        |   1516382 | PA      | $1352226.57   | 0.22%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                | RCO VII Mortgage LLC 2024-1                                              | CUSIP: 754921AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1937801 | PA      | $1948784.92   | 0.32%             | 2029-01-25      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc       | Structured Asset Mortgage Investments II Trust 2005-AR1                  | CUSIP: 86359LGT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33456 | PA      | $29662.03     | 0.00%             | 2035-04-19      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380VPP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1104115 | PA      | $43044.69     | 0.01%             | 2068-02-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B6US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56035 | PA      | $38120.22     | 0.01%             | 2043-12-15      | Floating      | 0.13%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2514748 | PA      | $2158970.19   | 0.35%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4247000 | PA      | $4037018.98   | 0.66%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1748315 | PA      | $88780.78     | 0.01%             | 2069-09-20      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54149 | PA      | $6226.13      | 0.00%             | 2060-10-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229082 | PA      | $19508.70     | 0.00%             | 2043-11-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2024-RM1                                                            | CUSIP: 26843HAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2690884 | PA      | $2523316.20   | 0.41%             | 2054-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                         | PNMAC GMSR ISSUER TRUST 2022-GT1                                         | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2300000 | PA      | $2321099.74   | 0.38%             | 2027-05-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38377YTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16966 | PA      | $764.11       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $3253886.72   | 0.53%             | 2027-07-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105346 | PA      | $12044.71     | 0.00%             | 2044-06-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2055000 | PA      | $2072576.83   | 0.34%             | 2027-04-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LYZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2617843 | PA      | $153239.17    | 0.02%             | 2069-08-20      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17310 | PA      | $18321.32     | 0.00%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232928 | PA      | $9039.73      | 0.00%             | 2067-01-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                             | Rate Mortgage Trust 2024-J4                                              | CUSIP: 75408TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2824193 | PA      | $2844050.05   | 0.46%             | 2054-12-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38383DDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1713676 | PA      | $247550.98    | 0.04%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2571692.75   | 0.42%             | 2027-07-25      | Fixed         | 10.07%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376YU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95359 | PA      | $6015.17      | 0.00%             | 2034-08-16      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31388LC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       839 | PA      | $875.19       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Asset Based Lending LLC                         | ABL 2024-RTL1                                                            | CUSIP: 00092EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1453246.70   | 0.24%             | 2029-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3YF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    836392 | PA      | $650263.03    | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13116 | PA      | $12518.56     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust              | Alternative Loan Trust 2004-2CB                                          | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93596 | PA      | $94406.41     | 0.02%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                           | Terwin Mortgage Trust Series TMTS 2004-3HE                               | CUSIP: 881561FE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206813 | PA      | $202321.92    | 0.03%             | 2035-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BBZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417373 | PA      | $22860.91     | 0.00%             | 2040-10-15      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                | Newtek Small Business Loan Trust 2021-1                                  | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848314 | PA      | $855590.90    | 0.14%             | 2049-10-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72934 | PA      | $69520.26     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1053473 | PA      | $65889.67     | 0.01%             | 2067-11-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7074 | PA      | $7102.39      | 0.00%             | 2063-08-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                 | Impac CMB Trust Series 2004-5                                            | CUSIP: 45254NJK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22608 | PA      | $22629.15     | 0.00%             | 2034-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1383264 | PA      | $1118931.55   | 0.18%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140MFHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314592 | PA      | $1062150.17   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust          | Residential Asset Securitization Trust 2007-A2                           | CUSIP: 761120AN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13196943 | PA      | $257046.75    | 0.04%             | 2037-04-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates               | ABFC 2004-OPT4 Trust                                                     | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199695 | PA      | $198511.38    | 0.03%             | 2034-02-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138 | PA      | $143.89       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                   | MASTR Reperforming Loan Trust 2005-2                                     | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94664 | PA      | $68521.18     | 0.01%             | 2035-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | Champs Trust 2025-1                                                      | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4924529 | PA      | $5134480.59   | 0.83%             | 2060-04-25      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                   | UBS Commercial Mortgage Trust 2018-C9                                    | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8218030 | PA      | $177231.68    | 0.03%             | 2051-03-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| PRPM Fundido                                    | Prpm Fundido 2025-1 DAC                                                  | CUSIP: 000000000<br>LEI: 894500EWWG2B1D664659 | Long             | ABS-MBS          | CORP              | IE        |   4000000 | PA      | $4282005.01   | 0.70%             | 2075-04-29      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust 2022-AB2                                  | CUSIP: 12530JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1065798 | PA      | $978157.19    | 0.16%             | 2052-02-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities I Trust 2006-AC2                    | CUSIP: 07387UGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415072 | PA      | $133810.68    | 0.02%             | 2036-03-25      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10532 | PA      | $559.56       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7083 | PA      | $6778.09      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BDKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171349 | PA      | $175810.95    | 0.03%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31379NGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $40.49        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1            | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1138171 | PA      | $982003.97    | 0.16%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FortiFi                                         | FortiFi 2023-1                                                           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    816372 | PA      | $819549.09    | 0.13%             | 2059-09-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179Y2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2267050 | PA      | $2297013.20   | 0.37%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    310130 | PA      | $262940.23    | 0.04%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41515 | PA      | $36230.44     | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2023-SRM1                            | CUSIP: 10638RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2928518 | PA      | $2734787.87   | 0.44%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                     | PURCHASED USD / SOLD GBP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |         1 | NC      | $-110503.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817820 | PA      | $27387.68     | 0.00%             | 2064-05-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                   | CoreVest American Finance 2021-2 Trust                                   | CUSIP: 21873BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2264859 | PA      | $61767.92     | 0.01%             | 2054-07-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2019-1                                    | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3882333 | PA      | $3680537.69   | 0.60%             | 2063-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A8YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19471 | PA      | $19746.08     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1401706.80   | 0.23%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                     | PURCHASED USD / SOLD EUR                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-699485.91   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-8F                                          | CUSIP: 362341VT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2310 | PA      | $2088.65      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract        | Lehman ABS Manufactured Housing Contract Trust 2002-A                    | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1468427 | PA      | $1448822.28   | 0.24%             | 2033-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                        | KGS-Alpha SBA COOF Trust 2012-2                                          | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    301241 | PA      | $4326.49      | 0.00%             | 2038-08-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2004-3F                                          | CUSIP: 36228FG34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10234 | PA      | $9800.38      | 0.00%             | 2034-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                  | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243174 | PA      | $240451.70    | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71099 | PA      | $66117.37     | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust           | Harvest Commercial Capital Loan Trust 2024-1                             | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1962861 | PA      | $2037544.93   | 0.33%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization        | LSF11 Boson Investments Sarl Compartment 2                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |   1297050 | PA      | $1413980.03   | 0.23%             | 2060-11-25      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-2                                    | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1739967.20   | 0.28%             | 2062-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140KSH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341401 | PA      | $265426.45    | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                   | Resloc UK 2007-1 PLC                                                     | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    262881 | PA      | $278368.93    | 0.05%             | 2043-12-15      | Floating      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617GTPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15077 | PA      | $15012.57     | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380VPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834744 | PA      | $36295.21     | 0.01%             | 2068-02-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust          | Velocity Commercial Capital Loan Trust 2022-5                            | CUSIP: 91824FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114170 | PA      | $114083.32    | 0.02%             | 2047-05-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2017-SC02                        | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    953004 | PA      | $817740.90    | 0.13%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                      | Start II LTD                                                             | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    187669 | PA      | $184947.08    | 0.03%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133573 | PA      | $122171.44    | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                            | LHOME Mortgage Trust 2023-RTL2                                           | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $1084363.90   | 0.18%             | 2028-06-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1059326 | PA      | $30780.59     | 0.01%             | 2067-07-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UJZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    774975 | PA      | $42842.22     | 0.01%             | 2064-06-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1888023.40   | 0.31%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618J8WW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2826264 | PA      | $2845760.04   | 0.46%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Titulizacion De Activos                         | TDA 19-Mixto FTA                                                         | CUSIP: 000000000<br>LEI: 95980020140005709597 | Long             | ABS-MBS          | CORP              | ES        |    738751 | PA      | $832394.34    | 0.14%             | 2036-03-22      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15751 | PA      | $16440.58     | 0.00%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535104 | PA      | $526047.07    | 0.09%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GJUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26446 | PA      | $26224.84     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1            | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476875 | PA      | $405584.52    | 0.07%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust            | Delta Funding Home Equity Loan Trust 1999-3                              | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508869 | PA      | $493361.07    | 0.08%             | 2029-09-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust         | Amortizing Residential Collateral Trust 2002-BC7                         | CUSIP: 86358R7H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293354 | PA      | $269534.36    | 0.04%             | 2032-10-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust              | Morgan Stanley Mortgage Loan Trust 2004-2AR                              | CUSIP: 61748HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52726 | PA      | $51102.98     | 0.01%             | 2034-02-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2024-RCF2 LLC                                                       | CUSIP: 693987AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019000 | PA      | $951071.52    | 0.15%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                      | ATLX 2024-RPL1 Trust                                                     | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1403570.10   | 0.23%             | 2064-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Eurosail Plc                                    | Eurosail-NL 2007-2 BV                                                    | CUSIP: 000000000<br>LEI: 724500VX65TCSYFLOA51 | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $564733.91    | 0.09%             | 2040-10-17      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406135 | PA      | $352536.08    | 0.06%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9745520.30   | 1.58%             | 2025-12-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kestrel Aircraft Funding Limited                | Kestrel Aircraft Funding Ltd                                             | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    165949 | PA      | $162676.98    | 0.03%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Onity Loan Investment Trust 2024-HB2                                     | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1886476.80   | 0.31%             | 2037-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                         | PNMAC GMSR Issuer Trust                                                  | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4055208.80   | 0.66%             | 2029-03-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143111 | PA      | $8139.80      | 0.00%             | 2044-03-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2015-SC02                        | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     45271 | PA      | $38835.80     | 0.01%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2007-3                                    | CUSIP: 07325YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1094885 | PA      | $1029594.24   | 0.17%             | 2037-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418EDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1676560 | PA      | $1423450.85   | 0.23%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust              | CWHEQ Revolving Home Equity Loan Trust Series 2005-F                     | CUSIP: 126685AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5875853 | PA      | $5636539.30   | 0.92%             | 2035-12-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-MAC NL 2004-I BV                                                       | CUSIP: 000000000<br>LEI: 724500SQXZRLADX2J753 | Long             | ABS-MBS          | CORP              | NL        |    102014 | PA      | $110422.25    | 0.02%             | 2036-07-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18584 | PA      | $1561.55      | 0.00%             | 2062-03-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust          | Merrill Lynch Mortgage Investors Trust Series 2004-FM1                   | CUSIP: 59020UFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65037 | PA      | $62768.92     | 0.01%             | 2035-01-25      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-NR1 LLC                                                        | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1889504 | PA      | $1896699.13   | 0.31%             | 2029-11-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                 | Fannie Mae Interest Strip                                                | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14814 | PA      | $1634.14      | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                    | GS Mortgage Securities Trust 2014-GC24                                   | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139877 | PA      | $1.80         | 0.00%             | 2047-09-10      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3908 | PA      | $4046.22      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                 | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TBN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18629 | PA      | $18720.34     | 0.00%             | 2030-04-15      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $4089851.20   | 0.66%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4935076.95   | 0.80%             | 2025-08-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JL7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1369301 | PA      | $1257594.19   | 0.20%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates               | ABFC 2004-OPT2 Trust                                                     | CUSIP: 04542BFU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223837 | PA      | $221223.52    | 0.04%             | 2033-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4            | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    328755 | PA      | $281792.43    | 0.05%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141220 | PA      | $133273.72    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82794 | PA      | $11247.45     | 0.00%             | 2062-04-20      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                     | Merrill Lynch Mortgage Investors Trust Series MLCC 2007-1                | CUSIP: 59023HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6851 | PA      | $6598.51      | 0.00%             | 2037-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    689828 | PA      | $643265.22    | 0.10%             | 2036-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LCG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142606 | PA      | $4979.17      | 0.00%             | 2068-03-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140JCA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815380 | PA      | $1631777.67   | 0.27%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | Champs Trust 2024-1                                                      | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1212724 | PA      | $1248470.87   | 0.20%             | 2059-07-25      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7171267 | PA      | $5124103.21   | 0.83%             | 2050-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB14 LLC                                                       | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2586503.40   | 0.42%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2023-SRM1                            | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    647205 | PA      | $638167.82    | 0.10%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12239867 | PA      | $367881.43    | 0.06%             | 2066-07-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618FSVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141815 | PA      | $147279.30    | 0.02%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61827 | PA      | $59009.94     | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mansard Mortgages Plc                           | Mansard Mortgages 2006-1 PLC                                             | CUSIP: 000000000<br>LEI: 213800OR1ZCE1EMOXP13 | Long             | ABS-MBS          | CORP              | GB        |    347749 | PA      | $441576.77    | 0.07%             | 2048-10-15      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Asset Backed Funding Certificates               | ABFC 2005-WF1 Trust                                                      | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108615 | PA      | $104185.02    | 0.02%             | 2034-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69301 | PA      | $2735.13      | 0.00%             | 2062-10-20      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140MFQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2188953 | PA      | $1768606.71   | 0.29%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617JUSZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29461 | PA      | $28568.60     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13425490 | PA      | $464023.46    | 0.08%             | 2065-06-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1131041.16   | 0.18%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2021-2                                    | CUSIP: 74969VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1078857 | PA      | $931895.33    | 0.15%             | 2061-09-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | Champs Trust 2024-2                                                      | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2446537 | PA      | $2547163.76   | 0.41%             | 2059-11-25      | Variable      | 9.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46614 | PA      | $4560.86      | 0.00%             | 2061-11-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2023-HB1                                     | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $482513.05    | 0.08%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB14 LLC                                                       | CUSIP: 12530XAF8<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3371866.40   | 0.55%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1865995.40   | 0.30%             | 2031-11-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38377WJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62820 | PA      | $5282.33      | 0.00%             | 2041-04-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140JSED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4287618 | PA      | $3320060.11   | 0.54%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2020-RPL6 Trust                                                     | CUSIP: 12656HAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1978360 | PA      | $2000827.48   | 0.33%             | 2059-03-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                   | MASTR Alternative Loan Trust 2003-4                                      | CUSIP: 576434EJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113024 | PA      | $102290.03    | 0.02%             | 2018-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1663910 | PA      | $57292.87     | 0.01%             | 2069-06-20      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                         | PURCHASED AUD / SOLD USD                                                 | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | AU        |         1 | NC      | $3861.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    429151 | PA      | $401230.25    | 0.07%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 31397NWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13331 | PA      | $11707.15     | 0.00%             | 2039-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    854512 | PA      | $46829.69     | 0.01%             | 2067-10-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $709.75       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445732 | PA      | $448806.64    | 0.07%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates         | WaMu Mortgage Backed Pass Through Certificates Series 2001-AR5           | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166851 | PA      | $165616.61    | 0.03%             | 2039-12-19      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                              | A&D Mortgage Trust 2023-NQM5                                             | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   1651553 | PA      | $1680218.87   | 0.27%             | 2068-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-Mac DE 2007-I BV                                                       | CUSIP: 000000000<br>LEI: 724500O14PEZ6A6JKY59 | Long             | ABS-MBS          | CORP              | NL        |   1500000 | PA      | $956236.85    | 0.16%             | 2054-11-25      | Floating      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BZ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182505 | PA      | $7343.37      | 0.00%             | 2063-04-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369666 | PA      | $10354.81     | 0.00%             | 2064-01-20      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2004-A6                                         | CUSIP: 466247GS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43182 | PA      | $39208.88     | 0.01%             | 2034-12-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $19135156.00  | 3.11%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust             | Waterfall Commercial Mortgage Trust 2015-SBC5                            | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701639 | PA      | $691234.86    | 0.11%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6900000 | PA      | $6978231.51   | 1.13%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation             | Banc of America Funding 2005-5 Trust                                     | CUSIP: 05946XE74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173034 | PA      | $162272.41    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                            | Boston Lending Trust 2022-2                                              | CUSIP: 10085BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1637506.98   | 0.27%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    912375 | PA      | $58896.56     | 0.01%             | 2068-01-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3098629 | PA      | $204412.63    | 0.03%             | 2064-10-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2025-NPL3 LLC                                                       | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3031953.00   | 0.49%             | 2055-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Prosil Acquisition                              | Prosil Acquisition SA                                                    | CUSIP: 000000000<br>LEI: 529900REZH4056FENJ94 | Long             | ABS-O            | CORP              | LU        |    589043 | PA      | $537055.13    | 0.09%             | 2039-10-31      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust  | Finance of America Structured Securities Trust                           | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2554908 | PA      | $2435568.41   | 0.40%             | 2074-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2020-SEQ1                        | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2511180.00   | 0.41%             | 2050-05-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                        | ECAF I Ltd                                                               | CUSIP: 26827EAA3<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     23398 | PA      | $16340.54     | 0.00%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC Issuer Trust-FMSR                                                    | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3851831.24   | 0.63%             | 2029-09-25      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc               | Citigroup Mortgage Loan Trust 2005-11                                    | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83389 | PA      | $81931.19     | 0.01%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133SKBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2278919 | PA      | $1849842.38   | 0.30%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| National City Mortgage Capital Trust            | National City Mortgage Capital Trust                                     | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55182 | PA      | $52343.91     | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US 10YR NOTE (CBT)JUN25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       104 | NC      | $316062.45    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27178 | PA      | $1051.05      | 0.00%             | 2063-08-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Equifirst Mortgage Loan Trust                   | EquiFirst Mortgage Loan Trust 2004-2                                     | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132472 | PA      | $121975.75    | 0.02%             | 2034-10-25      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B4R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4063 | PA      | $389.94       | 0.00%             | 2063-07-20      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418D7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5064667 | PA      | $3937585.25   | 0.64%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31390EZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       656 | PA      | $696.00       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                          | Harvest SBA Loan Trust 2023-1                                            | CUSIP: 41757BAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   1602444 | PA      | $1628670.44   | 0.26%             | 2050-10-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321802 | PA      | $16540.60     | 0.00%             | 2065-07-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375URW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1565569 | PA      | $58860.22     | 0.01%             | 2064-11-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2004-HYB1                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68810 | PA      | $62977.80     | 0.01%             | 2034-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Quest Trust                                     | Quest Trust                                                              | CUSIP: 748351AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    359045 | PA      | $383701.31    | 0.06%             | 2033-05-25      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151926 | PA      | $132587.78    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2022-HB1                                       | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1251425.40   | 0.20%             | 2032-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179XJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339645 | PA      | $342792.46    | 0.06%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136BQ6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5326 | PA      | $5306.96      | 0.00%             | 2054-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                              | Banco Santander SA                                                       | CUSIP: 05970UAE8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | STIV             | CORP              | ES        |   3000000 | PA      | $2908194.99   | 0.47%             | 2026-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2020-1                                    | CUSIP: 74969MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410920 | PA      | $1237293.97   | 0.20%             | 2060-04-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375GZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181566 | PA      | $21668.19     | 0.00%             | 2042-08-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378HP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569723 | PA      | $101507.97    | 0.02%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust                                           | CUSIP: 12529GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1175435.64   | 0.19%             | 2035-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| VineBrook Homes                                 | VINE 2023-SFR1 Trust                                                     | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1408000.20   | 0.23%             | 2040-12-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2022-2                                    | CUSIP: 74970CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2002245.30   | 0.33%             | 2062-06-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158109 | PA      | $137243.15    | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66489 | PA      | $2304.09      | 0.00%             | 2067-12-20      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39970 | PA      | $38020.38     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-2F                                          | CUSIP: 36242DYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35916 | PA      | $21549.52     | 0.00%             | 2035-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| METAL Cayman                                    | METAL 2017-1 LLC                                                         | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    234665 | PA      | $156061.67    | 0.03%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2024-HB13 LLC                                                       | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2571677.70   | 0.42%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                  | ACM Auto Trust 2023-2                                                    | CUSIP: 00161AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2544164.00   | 0.41%             | 2030-06-20      | Fixed         | 9.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities Trust 2001-3                        | CUSIP: 07384YBN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31476 | PA      | $31401.24     | 0.01%             | 2032-10-27      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476499 | PA      | $12957.53     | 0.00%             | 2066-10-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                            | LHOME Mortgage Trust 2023-RTL3                                           | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1313492.44   | 0.21%             | 2028-08-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140K8XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168575 | PA      | $149104.85    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                   | PURCHASED USD / SOLD CAD                                                 | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-44805.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97015 | PA      | $6110.32      | 0.00%             | 2062-01-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Non Gold Pool                                                | CUSIP: 3142BN2G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1590621 | PA      | $1610402.98   | 0.26%             | 2054-09-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                   | CoreVest American Finance 2020-3 Trust                                   | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    766105 | PA      | $16214.22     | 0.00%             | 2053-08-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Corporation                    | Cendant Mortgage Corp                                                    | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72428 | PA      | $71620.23     | 0.01%             | 2043-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UQV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59479 | PA      | $58286.19     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62934 | PA      | $57001.29     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust              | New Century Home Equity Loan Trust Series 2003-5                         | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179348 | PA      | $105424.46    | 0.02%             | 2033-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140JVWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76857 | PA      | $70368.87     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                        | ECAF I Ltd                                                               | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    401118 | PA      | $336929.42    | 0.05%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| STAR 2024-SFR4 Trust                            | STAR 2024-SFR4 Trust                                                     | CUSIP: 85520AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1498829 | PA      | $1507049.32   | 0.24%             | 2041-10-17      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13276 | PA      | $12392.58     | 0.00%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    870442 | PA      | $30477.29     | 0.00%             | 2067-11-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                     | LOANDEPOT GMSR Master Trust Seres 2018-GT1                               | CUSIP: 53946TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1994881.60   | 0.32%             | 2025-10-16      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                             | Newgate Funding PLC                                                      | CUSIP: 000000000<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |    333269 | PA      | $429725.18    | 0.07%             | 2050-12-15      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $13016016.00  | 2.12%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IMS Ecuadorian Mortagage Trust                  | IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307133 | PA      | $300731.62    | 0.05%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488842 | PA      | $438240.87    | 0.07%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    837666 | PA      | $739481.50    | 0.12%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2024-RTL4                        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2209279.16   | 0.36%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1948400.40   | 0.32%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Loandepot GMSR Master Trust                     | LOANDEPOT GMSR Master Trust Seres 2018-GT1                               | CUSIP: 53946TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1995000 | PA      | $1989784.27   | 0.32%             | 2025-10-16      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1            | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3468110 | PA      | $3382907.99   | 0.55%             | 2058-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H12 LLC                                                        | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2299661.75   | 0.37%             | 2033-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618K4DG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2091491 | PA      | $2105918.85   | 0.34%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301832 | PA      | $10962.19     | 0.00%             | 2066-06-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                     | RCKT Mortgage Trust 2024-INV1                                            | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88620 | PA      | $90575.40     | 0.01%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| RiverView HECM Trust                            | RiverView HECM Trust                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1827974 | PA      | $1603664.73   | 0.26%             | 2047-05-25      | Floating      | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BR79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       549 | PA      | $7.19         | 0.00%             | 2062-04-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A1JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6542 | PA      | $6634.35      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                              | E-MAC Program BV                                                         | CUSIP: 000000000<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |    133994 | PA      | $139683.38    | 0.02%             | 2048-01-25      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4131005 | PA      | $4037657.95   | 0.66%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257160 | PA      | $224427.05    | 0.04%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31388HBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18056 | PA      | $18925.05     | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73194 | PA      | $70684.06     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7957 | PA      | $7885.49      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2            | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1458598 | PA      | $1258607.98   | 0.20%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143329 | PA      | $119804.64    | 0.02%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3            | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    555641 | PA      | $477106.41    | 0.08%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2025-RM10                            | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2948628.90   | 0.48%             | 2065-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1            | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3028238 | PA      | $2501895.09   | 0.41%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550702 | PA      | $310620.38    | 0.05%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization        | LSF11 Boson Investments Sarl Compartment 2                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |   1543042 | PA      | $1682148.65   | 0.27%             | 2060-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4983157.20   | 0.81%             | 2025-05-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BYF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40894 | PA      | $362.90       | 0.00%             | 2062-09-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150393 | PA      | $140195.42    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust  | Finance of America Structured Securities Trust 2022-S3                   | CUSIP: 31739PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2691114 | PA      | $2674023.45   | 0.43%             | 2052-06-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| ABFS MORTGAGE LOAN TRUST                        | ABFS MORTGAGE LOAN TRUST                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3324696 | PA      | $400426.34    | 0.07%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurohome Italy Mortgages                        | Eurohome Italy Mortgages Srl                                             | CUSIP: 000000000<br>LEI: 8156005F4093CD5E0195 | Long             | ABS-MBS          | CORP              | IT        |   2760642 | PA      | $2932849.37   | 0.48%             | 2054-11-02      | Floating      | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                        | Great Hall Mortgages No 1 PLC                                            | CUSIP: 000000000<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |    426674 | PA      | $476762.76    | 0.08%             | 2039-03-18      | Floating      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust Series 2008-R2                                  | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61212 | PA      | $56445.31     | 0.01%             | 2037-07-27      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14122 | PA      | $15051.45     | 0.00%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415249 | PA      | $338623.17    | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31281BWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180580 | PA      | $169933.59    | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121652 | PA      | $105221.03    | 0.02%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31390RTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       846 | PA      | $890.66       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC USA Inc                                    | HSBC USA Inc                                                             | CUSIP: 40434PSL1<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |   6000000 | PA      | $5982361.68   | 0.97%             | 2025-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140L6M76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624590 | PA      | $482033.54    | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653577 | PA      | $47327.51     | 0.01%             | 2060-11-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                 | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54747 | PA      | $55516.76     | 0.01%             | 2029-11-15      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12661077 | PA      | $641644.14    | 0.10%             | 2066-04-20      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                 | Shenton Aircraft Investment I Ltd                                        | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    617674 | PA      | $600370.95    | 0.10%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 312944BB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23949 | PA      | $24319.83     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2024-RCF3 LLC                                                       | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1781721.60   | 0.29%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2005-3                                    | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387439 | PA      | $368565.95    | 0.06%             | 2035-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 31398THK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203311 | PA      | $197512.93    | 0.03%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365036 | PA      | $328733.00    | 0.05%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3            | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188581 | PA      | $176410.63    | 0.03%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28004 | PA      | $26796.57     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust             | MASTR Asset Securitization Trust 2002-NC1                                | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1649207 | PA      | $1559774.24   | 0.25%             | 2032-10-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9931 | PA      | $10524.43     | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30355 | PA      | $28410.51     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Business Loan Express                           | Business Loan Express Business Loan Trust 2007-A                         | CUSIP: 12328RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172542 | PA      | $159762.16    | 0.03%             | 2040-10-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38384YA27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    920417 | PA      | $920083.94    | 0.15%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38382YTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8598377 | PA      | $423955.79    | 0.07%             | 2072-05-20      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31323ABF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117071 | PA      | $107192.81    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                        | OBX 2023-INV1                                                            | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1803282 | PA      | $1533635.00   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31323AEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31254 | PA      | $28845.70     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4163792 | PA      | $366685.28    | 0.06%             | 2066-06-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21026 | PA      | $3727.10      | 0.00%             | 2060-09-20      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797NW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   8000000 | PA      | $7947832.88   | 1.29%             | 2025-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1413668 | PA      | $35327.44     | 0.01%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust         | Amortizing Residential Collateral Trust                                  | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438136 | PA      | $429129.74    | 0.07%             | 2031-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16796 | PA      | $892.35       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197173 | PA      | $21976.42     | 0.00%             | 2042-08-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust      | Bear Stearns Asset Backed Securities Trust 2005-SD1                      | CUSIP: 073877AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1590496 | PA      | $1772645.16   | 0.29%             | 2043-08-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BWLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131006 | PA      | $134417.29    | 0.02%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UNZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21616 | PA      | $20683.79     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                           | FMC GMSR Issuer Trust                                                    | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $936583.60    | 0.15%             | 2026-07-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UBD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304445 | PA      | $4556.26      | 0.00%             | 2063-08-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2024-RN1 LLC                                                        | CUSIP: 74143PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2318006 | PA      | $2338306.31   | 0.38%             | 2054-03-25      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                 | Fannie Mae Interest Strip                                                | CUSIP: 31364JT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8599 | PA      | $761.16       | 0.00%             | 2030-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| EMF-NL Bv                                       | EMF-NL Prime 2008-A BV                                                   | CUSIP: 000000000<br>LEI: 724500YACYYG8XY5LM10 | Long             | ABS-MBS          | CORP              | NL        |     58670 | PA      | $65913.29     | 0.01%             | 2041-04-17      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LTD                 | Shenton Aircraft Investment Ltd                                          | CUSIP: 82321UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    193983 | PA      | $164459.46    | 0.03%             | 2042-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108038 | PA      | $103738.30    | 0.02%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4            | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    458328 | PA      | $430310.99    | 0.07%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                  | HarborView Mortgage Loan Trust 2003-1                                    | CUSIP: 41161PBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59567 | PA      | $55282.25     | 0.01%             | 2033-05-19      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617UNGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1012894 | PA      | $859629.79    | 0.14%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                            | Falcon 2019-1 Aerospace Ltd                                              | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    265545 | PA      | $256461.63    | 0.04%             | 2039-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31490 | PA      | $28738.48     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities PLC               | Lansdowne Mortgage Securities No 2 PLC                                   | CUSIP: 000000000<br>LEI: 549300FRHPJ8SK8UYU55 | Long             | ABS-MBS          | CORP              | IE        |    591390 | PA      | $619686.28    | 0.10%             | 2048-09-16      | Floating      | 2.84%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83418 | PA      | $76833.45     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87226 | PA      | $70802.86     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137B53F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21616 | PA      | $4768.90      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2            | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    234733 | PA      | $219217.99    | 0.04%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                    | CSMC 2021-BRIT                                                           | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815707 | PA      | $797248.86    | 0.13%             | 2025-05-09      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31371HTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       411 | PA      | $423.41       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VFE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105619 | PA      | $95115.40     | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2025-NPL4 LLC                                                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1999999.60   | 0.33%             | 2055-04-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                        | Morgan Stanley Institutional Liquidity Funds - Government Portfolio      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  14948232 | NS      | $14948231.62  | 2.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Danske Bank A/S                                 | Danske Bank A/S                                                          | CUSIP: 23636RA95<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | STIV             | CORP              | DK        |   2000000 | PA      | $1938577.22   | 0.32%             | 2026-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                   | TIAA Bank Mortgage Loan Trust 2018-3                                     | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108986 | PA      | $102322.16    | 0.02%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Lending Trust                            | Boston Lending Trust 2022-2                                              | CUSIP: 10085BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1958959 | PA      | $1846109.34   | 0.30%             | 2062-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2021-HB1                                       | CUSIP: 74969TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $481113.75    | 0.08%             | 2031-11-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4566090 | PA      | $212640.09    | 0.03%             | 2068-02-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  52600000 | PA      | $52491102.22  | 8.53%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-MAC NL 2005-I BV                                                       | CUSIP: 000000000<br>LEI: 724500ZVKRLV3I0BMR76 | Long             | ABS-MBS          | CORP              | NL        |     58581 | PA      | $60893.63     | 0.01%             | 2038-04-25      | Floating      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69872 | PA      | $1079.27      | 0.00%             | 2063-05-20      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Seasoned Credit Risk Transfer Trust Series 2025-1                        | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    712336 | PA      | $650499.60    | 0.11%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617UNGV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741393 | PA      | $619248.09    | 0.10%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143080 | PA      | $121394.76    | 0.02%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136A6WV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359078 | PA      | $39401.12     | 0.01%             | 2042-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3            | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    144047 | PA      | $122928.83    | 0.02%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                  | Adjustable Rate Mortgage Trust 2004-5                                    | CUSIP: 007036ES1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58275 | PA      | $55136.97     | 0.01%             | 2035-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-3            | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1150552.08   | 0.19%             | 2060-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                 | Oakwood Mortgage Investors Inc                                           | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848508 | PA      | $68427.73     | 0.01%             | 2031-06-15      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380QSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5904477 | PA      | $279745.25    | 0.05%             | 2070-12-20      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16762 | PA      | $17856.27     | 0.00%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7641875 | PA      | $237296.12    | 0.04%             | 2066-06-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation         | Structured Asset Securities Corp Mortgage Pass-Through Certificates Seri | CUSIP: 863572Z97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42593 | PA      | $41412.48     | 0.01%             | 2030-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448584 | PA      | $348756.95    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31386BAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7431 | PA      | $7811.04      | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Champs Trust                                    | CHAMPS TRUST 2024-3                                                      | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2764803 | PA      | $2863549.09   | 0.47%             | 2060-01-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                      | ATLX 2024-RPL2 Trust                                                     | CUSIP: 049919AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1577447.68   | 0.26%             | 2063-04-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2005-7F                                          | CUSIP: 362341NC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239528 | PA      | $238375.35    | 0.04%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BSG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25714 | PA      | $3580.06      | 0.00%             | 2062-05-20      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust              | Alternative Loan Trust 2005-79CB                                         | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29736 | PA      | $16464.19     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60554 | PA      | $57943.37     | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10276 | PA      | $9023.21      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618H9TZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610082 | PA      | $632339.63    | 0.10%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148525 | PA      | $8210.73      | 0.00%             | 2065-07-20      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418C4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20339 | PA      | $19412.31     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mortgage Equity Conversion Asset Trust          | Mortgage Equity Conversion Asset Trust 2007-FF2                          | CUSIP: 61911CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38784 | PA      | $38055.76     | 0.01%             | 2042-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                       | RMF Buyout Issuance Trust 2020-HB1                                       | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1048080.72   | 0.17%             | 2050-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H11 LLC                                                        | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $917895.00    | 0.15%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                      | GITSIT Mortgage Loan Trust 2024-NPL1                                     | CUSIP: 375925AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324125 | PA      | $324283.10    | 0.05%             | 2054-06-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| E-MAC Program B.V.                              | E-MAC Program BV                                                         | CUSIP: 000000000<br>LEI: 724500SKQP7E7072AD15 | Long             | ABS-MBS          | CORP              | NL        |   1576125 | PA      | $1520889.57   | 0.25%             | 2046-07-25      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Eurosail Plc                                    | Eurosail-Nl 2007-1 BV                                                    | CUSIP: 000000000<br>LEI: 7245005ZXA2CS61TW539 | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $558821.56    | 0.09%             | 2040-04-17      | Floating      | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138A5GF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16878 | PA      | $17113.28     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48420 | PA      | $46446.94     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2024-HB1                                     | CUSIP: 675952AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1771014.60   | 0.29%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418D5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4099567 | PA      | $3335384.15   | 0.54%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dowson                                          | Dowson 2022-2 PLC                                                        | CUSIP: 000000000<br>LEI: 2138007VE7NHNFWYH460 | Long             | ABS-O            | CORP              | GB        |    630000 | PA      | $840987.65    | 0.14%             | 2029-08-20      | Floating      | 9.72%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       132 | PA      | $135.54       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138WFK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102664 | PA      | $94285.99     | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US LONG BOND(CBT) JUN25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        16 | NC      | $28250.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345186 | PA      | $3337.13      | 0.00%             | 2058-08-20      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449852 | PA      | $421876.35    | 0.07%             | 2036-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    778536 | PA      | $20195.90     | 0.00%             | 2067-08-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                      | MFA 2024-NPL1 Trust                                                      | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3466691 | PA      | $3476423.09   | 0.57%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418CVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32232 | PA      | $29415.29     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225367 | PA      | $12918.07     | 0.00%             | 2060-05-20      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limited                | Pioneer Aircraft Finance Ltd                                             | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2366072 | PA      | $2151614.33   | 0.35%             | 2044-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9045 | PA      | $9386.55      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DP FACILITIES TRUST                             | DP Facilities Data Center Subordinated Pass-Through Trust                | CUSIP: 23341GAA2<br>LEI: 549300TYHFJ7EETO8B10 | Long             | DBT              | CORP              | US        |    350000 | PA      | $88375.00     | 0.01%             | 2028-11-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | Prpm 2024-1 LLC                                                          | CUSIP: 693972AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2626654 | PA      | $2665922.34   | 0.43%             | 2029-02-25      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2004-14                                          | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140254 | PA      | $130552.11    | 0.02%             | 2034-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| ReadyCap lending                                | ReadyCap Lending Small Business Loan Trust 2019-2                        | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    143737 | PA      | $143445.05    | 0.02%             | 2044-12-27      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae REMICS                                                        | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187413 | PA      | $11104.61     | 0.00%             | 2039-10-25      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6466323 | PA      | $811952.96    | 0.13%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                  | Bayview Commercial Asset Trust 2006-3                                    | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396814 | PA      | $377117.03    | 0.06%             | 2036-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3132GECE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3373 | PA      | $3419.79      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates           | Countrywide Asset-Backed Certificates                                    | CUSIP: 1266716Z4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470774 | PA      | $476558.16    | 0.08%             | 2033-03-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                        | KGS-Alpha SBA COOF Trust 2015-2                                          | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    364400 | PA      | $22054.01     | 0.00%             | 2041-07-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                     | PRKCM 2023-AFC1 Trust                                                    | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2292143 | PA      | $2302462.90   | 0.37%             | 2058-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137BCNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111208 | PA      | $6370.11      | 0.00%             | 2039-10-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                            | ACE SECURITIES CORP.                                                     | CUSIP: 004426AE2<br>LEI: 549300164ZV2301BC703 | Long             | ABS-O            | CORP              | US        |   1467404 | PA      | $1110002.98   | 0.18%             | 2029-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81643 | PA      | $1529.29      | 0.00%             | 2061-08-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205285 | PA      | $187762.44    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99058 | PA      | $182.74       | 0.00%             | 2062-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust              | Alternative Loan Trust 2007-11T1                                         | CUSIP: 02150GBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70082 | PA      | $68694.59     | 0.01%             | 2037-05-25      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRZ FHT Excess LLC                                                       | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496412 | PA      | $490769.37    | 0.08%             | 2025-11-25      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRM FNT1 Excess LLC                                                      | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4004594 | PA      | $4043095.59   | 0.66%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17892 | PA      | $17913.51     | 0.00%             | 2061-02-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128L4EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8313 | PA      | $8813.88      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5663 | PA      | $5896.80      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust           | MASTR Adjustable Rate Mortgages Trust 2004-5                             | CUSIP: 576433MY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175889 | PA      | $163443.47    | 0.03%             | 2034-06-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                    | Saxon Asset Securities Trust 2002-3                                      | CUSIP: 805564MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266457 | PA      | $244359.78    | 0.04%             | 2032-12-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2015-SC01                        | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37422 | PA      | $32010.43     | 0.01%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14710 | PA      | $14075.53     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                 | Impac CMB Trust Series 2005-7                                            | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019841 | PA      | $907125.54    | 0.15%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust             | Brean Asset Backed Securities Trust 2023-SRM1                            | CUSIP: 10638RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1597374 | PA      | $1417687.05   | 0.23%             | 2063-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36184YE78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95591 | PA      | $87996.23     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9803854.20   | 1.59%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159253 | PA      | $138296.56    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UU99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10744995 | PA      | $860545.20    | 0.14%             | 2067-10-20      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31400HWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68292 | PA      | $71862.84     | 0.01%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Merit Securities Corporation                    | MERIT Securities Corp                                                    | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295901 | PA      | $276265.60    | 0.04%             | 2032-09-28      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                        | JP Morgan Mortgage Trust 2020-INV2                                       | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82634 | PA      | $65648.04     | 0.01%             | 2050-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133N3U77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27222 | PA      | $25520.51     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31293SCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3602 | PA      | $3723.21      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust                                           | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4347817.00   | 0.71%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3129457G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165626 | PA      | $164060.08    | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618BWLL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375934 | PA      | $385722.86    | 0.06%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797QH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5434000 | PA      | $5373501.48   | 0.87%             | 2025-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618HQWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378174 | PA      | $389317.44    | 0.06%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141962 | PA      | $4945.92      | 0.00%             | 2062-04-20      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust  | Structured Adjustable Rate Mortgage Loan Trust Series 2005-1             | CUSIP: 863579LA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134130 | PA      | $130569.16    | 0.02%             | 2035-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26864 | PA      | $3495.81      | 0.00%             | 2063-02-20      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust              | EFMT 2024-RM3                                                            | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2777130 | PA      | $2660941.15   | 0.43%             | 2054-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375CAA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8626 | PA      | $436.49       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SWAP JP MORGAN BOC                              | SWAP JP MORGAN BOC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -260000 | NS      | $-260000.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BF23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44618 | PA      | $123.77       | 0.00%             | 2063-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1628485 | PA      | $77044.83     | 0.01%             | 2069-07-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US 5YR NOTE (CBT) JUN25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       737 | NC      | $747844.63    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust | Bayview Financial Revolving Asset Trust 2005-E                           | CUSIP: 073250BX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418966 | PA      | $1179190.53   | 0.19%             | 2040-12-28      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140LWVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179039 | PA      | $160316.06    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| harvest commercial capital loan trust           | Harvest Commercial Capital Loan Trust 2020-1                             | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554000 | PA      | $1431258.24   | 0.23%             | 2052-04-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4            | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    822247 | PA      | $692989.48    | 0.11%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2024-HB1                                     | CUSIP: 675952AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1393602.60   | 0.23%             | 2037-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M8W83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29714 | PA      | $29460.38     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391346 | PA      | $346145.31    | 0.06%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                          | Harvest SBA Loan Trust 2024-1                                            | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   2139266 | PA      | $2155165.72   | 0.35%             | 2051-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2022-HB9 LLC                                                        | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720848 | PA      | $1689126.77   | 0.27%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133SKDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5318242 | PA      | $4618390.77   | 0.75%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38380LFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3538393 | PA      | $119231.58    | 0.02%             | 2068-02-20      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36176DZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37873 | PA      | $38501.32     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC       | Retained Vantage Data Centers Issuer LLC                                 | CUSIP: 000000000<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1457180.18   | 0.24%             | 2048-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2            | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3872500 | PA      | $3762553.53   | 0.61%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                        | KGS-Alpha SBA COOF Trust 2014-2                                          | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    165982 | PA      | $6844.27      | 0.00%             | 2040-04-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                          | CHL Mortgage Pass-Through Trust 2003-48                                  | CUSIP: 12669EU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120736 | PA      | $117116.59    | 0.02%             | 2033-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103273 | PA      | $96699.16     | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                    | GS Mortgage Securities Trust 2015-GC32                                   | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $469812.40    | 0.08%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LoanMe Trust Prime 2018-1                       | LoanMe Trust Prime 2018-1                                                | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    379089 | PA      | $374279.72    | 0.06%             | 2034-09-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2017-SC02                        | CUSIP: 3137G1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    742313 | PA      | $653992.26    | 0.11%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140KUWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268355 | PA      | $212327.81    | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                     | PRKCM 2023-AFC4 Trust                                                    | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1527328 | PA      | $1555187.24   | 0.25%             | 2058-11-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Jol Air                                         | JOL Air Ltd                                                              | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |   1292995 | PA      | $1267733.01   | 0.21%             | 2044-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378TCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33062 | PA      | $918.29       | 0.00%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36942 | PA      | $34436.99     | 0.01%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618JAX24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738816 | PA      | $755968.64    | 0.12%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes          | NRM FHT1 Excess Owner LLC                                                | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5600700 | PA      | $5649719.65   | 0.92%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508861 | PA      | $11844.65     | 0.00%             | 2064-10-20      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65406 | PA      | $5454.43      | 0.00%             | 2060-04-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3805289 | PA      | $178622.15    | 0.03%             | 2066-12-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                  | RMF Proprietary Issuance Trust 2020-1                                    | CUSIP: 74969MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    834012 | PA      | $802179.50    | 0.13%             | 2060-04-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                  | ACM Auto Trust 2024-2                                                    | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5934961.36   | 0.96%             | 2031-08-20      | Fixed         | 9.21%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                               | PRPM 2022-INV1 Trust                                                     | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    778962 | PA      | $773578.40    | 0.13%             | 2067-04-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UD80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381112 | PA      | $17250.16     | 0.00%             | 2067-08-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 312944S69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6295 | PA      | $6391.71      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                         | NYMT Loan Trust Series 2025-R1                                           | CUSIP: 67120XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2962931 | PA      | $2965538.06   | 0.48%             | 2030-02-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179VKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92755 | PA      | $83530.58     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAVE 2017-1 LLC                                 | WAVE 2017-1 Trust                                                        | CUSIP: 94353WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235524 | PA      | $219046.06    | 0.04%             | 2042-11-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617J6RP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4523 | PA      | $4503.12      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3            | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    965483 | PA      | $847482.65    | 0.14%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3138AMBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3282 | PA      | $3327.74      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                         | PMT Issuer Trust - FMSR                                                  | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2126000 | PA      | $2123854.44   | 0.35%             | 2026-03-25      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC            | PRET 2024-NPL3 LLC                                                       | CUSIP: 69391UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4558186 | PA      | $4576672.30   | 0.74%             | 2054-04-27      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137ALMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78664 | PA      | $72729.12     | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31390FAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1140 | PA      | $1198.54      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140QAVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6141 | PA      | $5581.48      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                | IndyMac INDX Mortgage Loan Trust 2004-AR9                                | CUSIP: 45660N3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14371 | PA      | $14490.01     | 0.00%             | 2034-11-25      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities PLC               | Lansdowne Mortgage Securities No 1 PLC                                   | CUSIP: 000000000<br>LEI: 549300M5JCJD5NA85U45 | Long             | ABS-MBS          | CORP              | IE        |    455000 | PA      | $504050.71    | 0.08%             | 2045-06-15      | Floating      | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities  | Credit Suisse First Boston Mortgage Securities Corp                      | CUSIP: 22540VTZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265093 | PA      | $256729.08    | 0.04%             | 2032-02-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| European Residential Loan Securitization        | European Residential Loan Securitisation 2019-NPL1 DAC                   | CUSIP: 000000000<br>LEI: 635400NCOLE2BYYWTZ86 | Long             | ABS-O            | CORP              | IE        |   1603504 | PA      | $1763199.17   | 0.29%             | 2054-07-24      | Floating      | 9.35%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                          | US 2YR NOTE (CBT) JUN25                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       122 | NC      | $261159.55    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANNA RMBS                                      | Banna RMBS DAC                                                           | CUSIP: 000000000<br>LEI: 549300ITMSQX8FY8ZS10 | Long             | ABS-MBS          | CORP              | IE        |    200000 | PA      | $265952.29    | 0.04%             | 2063-12-30      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust         | Saluda Grade Alternative Mortgage Trust 2025-NPL1                        | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2345456 | PA      | $2349091.79   | 0.38%             | 2030-01-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2022-HB9 LLC                                                        | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1511952.59   | 0.25%             | 2037-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Titulizacion De Activos                         | TDA 27 FTA                                                               | CUSIP: 000000000<br>LEI: 95980020140005710276 | Long             | ABS-MBS          | CORP              | ES        |    375151 | PA      | $386294.32    | 0.06%             | 2050-12-28      | Floating      | 2.56%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31418D3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255772 | PA      | $208094.25    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                          | Cascade MH Asset Trust 2022-MH1                                          | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1776294 | PA      | $1721152.48   | 0.28%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                    | RBSSP Resecuritization Trust 2009-8                                      | CUSIP: 74927BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34174 | PA      | $252299.23    | 0.04%             | 2037-09-26      | Variable      | 93.02%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Pool                                                         | CUSIP: 3133SKCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1848253 | PA      | $1499107.27   | 0.24%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC              | Galton Funding Mortgage Trust 2019-1                                     | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    552701 | PA      | $528739.79    | 0.09%             | 2059-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140L2AS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523941 | PA      | $404356.48    | 0.07%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2023-H11 LLC                                                        | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2016597.24   | 0.33%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 31387WTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       144 | PA      | $150.05       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3617GTNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9799 | PA      | $9736.97      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | CFMT 2020-ABC1 LLC                                                       | CUSIP: 12529HAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    548049 | PA      | $538631.02    | 0.09%             | 2050-09-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                              | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                   | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    229197 | PA      | $221030.09    | 0.04%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                  | Cascade Funding Mortgage Trust 2024-RM5                                  | CUSIP: 147275AC5<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1352842.95   | 0.22%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac REMICS                                                       | CUSIP: 3137FX3Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8213311 | PA      | $1085607.56   | 0.18%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                          | U.S. Treasury Bills                                                      | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   8000000 | PA      | $7902612.48   | 1.28%             | 2025-08-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                              | PURCHASED USD / SOLD DKK                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-211459.69   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2023-HB1                                     | CUSIP: 67578KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3329279.80   | 0.54%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                        | Rain City Mortgage Trust 2024-RTL1                                       | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1671000 | PA      | $1685925.04   | 0.27%             | 2029-11-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                     | Freddie Mac Gold Pool                                                    | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5230 | PA      | $5432.70      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust            | Sutherland Commercial Mortgage Trust 2021-SBC10                          | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506289 | PA      | $437423.22    | 0.07%             | 2041-12-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                      | Fannie Mae Pool                                                          | CUSIP: 3140N7ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1695824 | PA      | $1518484.05   | 0.25%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Trust                    | Stanwich Mortgage Loan Co 2021-NPL-B-1 LLC                               | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    106820 | PA      | $107018.50    | 0.02%             | 2026-10-16      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust   | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4            | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410142 | PA      | $8705.80      | 0.00%             | 2049-12-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust         | Freddie Mac Whole Loan Securities Trust 2016-SC02                        | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    302451 | PA      | $261519.72    | 0.04%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| E-MAC                                           | E-MAC DE 2005-I BV                                                       | CUSIP: 000000000<br>LEI: 72450085LQ6DKJ7BBA61 | Long             | ABS-MBS          | CORP              | NL        |     95425 | PA      | $107347.31    | 0.02%             | 2052-05-25      | Floating      | 10.66%                | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                     | Ocwen Loan Investment Trust 2023-HB1                                     | CUSIP: 67578KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $940470.00    | 0.15%             | 2036-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375BWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93743 | PA      | $4982.66      | 0.00%             | 2061-05-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust                       | COOF Securitization Trust 2015-1                                         | CUSIP: 12592NAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    616923 | PA      | $32901.12     | 0.01%             | 2040-10-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179UQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37495 | PA      | $35878.27     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38378W6W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120047 | PA      | $6062.22      | 0.00%             | 2043-09-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 3618JAS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1749126 | PA      | $1771712.11   | 0.29%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36179USM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16588 | PA      | $16255.33     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                         | GSR Mortgage Loan Trust 2003-1                                           | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3067 | PA      | $2939.37      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae I Pool                                                        | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57946 | PA      | $55641.35     | 0.01%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                       | Uniform Mortgage-Backed Security, TBA                                    | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4157617.00   | 0.68%             | 2054-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae II Pool                                                       | CUSIP: 36180UMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136674 | PA      | $123616.35    | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                          | Conseco Finance Corp                                                     | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    556439 | PA      | $560827.14    | 0.09%             | 2027-06-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    863317 | PA      | $48066.48     | 0.01%             | 2067-06-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Ginnie Mae                                                               | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3628877.49   | 0.59%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                | Freddie Mac Strips                                                       | CUSIP: 31282YCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28863 | PA      | $3075.86      | 0.00%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38376RRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       730 | PA      | $722.91       | 0.00%             | 2066-02-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1697705 | PA      | $117235.25    | 0.02%             | 2064-09-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375B2E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642766 | PA      | $22406.87     | 0.00%             | 2063-05-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                  | ACM Auto Trust 2025-1                                                    | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2525560.00   | 0.41%             | 2031-11-20      | Fixed         | 7.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association        | Government National Mortgage Association                                 | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502402 | PA      | $14465.72     | 0.00%             | 2067-04-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-19

**Name of Applicant:** MORGAN STANLEY MORTGAGE SECURITIES TRUST

**Signature:** Francis Smith

**Name of Signer:** Francis Smith

**Title:** Principal Financial Officer