# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0002071691-25-009576
**Filing Date:** 2025-12
**Character Count:** 256280
**Document Hash:** a6cf6260da0718f51cd796c6c37b1400
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-009576.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0002071691-25-009576

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 251596412

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Janus ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Mortgage-Backed Securities ETF (Series ID: S000063007)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000204446 | Janus Henderson Mortgage-Backed Securities ETF | JMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000063007

- **c. LEI of Series:** 549300V6TVE4ZJCDWY16

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

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

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $14183973577.74

**Total Liabilities:** $7518767663.21

**Net Assets:** $6665205914.53

**Delayed Delivery Securities:** $37797794.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -28011.79428972 | **1-Year:** -451004.94387181 | **5-Year:** -1188584.33233886 | **10-Year:** -2148789.29662387 | **30-Year:** -715939.92899607

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

- **3-Month:** -3268.23245658 | **1-Year:** -32378.52830567 | **5-Year:** -38267.99397459 | **10-Year:** -85234.11971898 | **30-Year:** -7942.00634705

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204446 | 1.76%                | 1.22%                | 0.90%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $21424033.16             | $55250258.85                               |
| Month 2  | $41064220.36             | $12002248.89                               |
| Month 3  | $22568200.78             | $6397206.15                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities (Statistics Universe)

- **Index Identifier:** LEHM.MC.LEHM000095UUSD

### Schedule of Portfolio Investments

| Name                                           | Title                                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19121002 | PA      | $18326848.41   | 0.27%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239330 | PA      | $231035.35     | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131YAV98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250075 | PA      | $248202.89     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44358435 | PA      | $37376497.05   | 0.56%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-53, Class FK                                      | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16851 | PA      | $16793.58      | 0.00%             | 2032-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334YHQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1826395 | PA      | $1658537.30    | 0.02%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust, Series 2019-KF70, Class C                            | CUSIP: 30298UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     789970 | PA      | $780570.74     | 0.01%             | 2029-09-25      | Floating      | 10.42%                | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2            | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2770074.45    | 0.04%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance              | Mello Mortgage Capital Acceptance, Series 2024-SD1, Class A1               | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7379026 | PA      | $7264478.64    | 0.11%             | 2054-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161854 | PA      | $158641.55     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NAYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3957876 | PA      | $4171320.15    | 0.06%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825582 | PA      | $794952.79     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  127692488 | PA      | $124579728.22  | 1.87%             | 2055-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12462371 | PA      | $12830421.52   | 0.19%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W17L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29996922 | PA      | $28760331.69   | 0.43%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                    | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1919159 | PA      | $1881492.81    | 0.03%             | 2050-02-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6755007 | PA      | $6494612.31    | 0.10%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3237188 | PA      | $3134023.97    | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CHX91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3954243 | PA      | $4157285.08    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43491222 | PA      | $41637029.47   | 0.62%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-163, Class LO                                            | CUSIP: 38380KNA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3308909 | PA      | $2538367.76    | 0.04%             | 2041-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1        | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8960858 | PA      | $8917766.06    | 0.13%             | 2029-04-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSTS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21741409 | PA      | $22355085.99   | 0.34%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1   | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |   21160160 | PA      | $20475023.39   | 0.31%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39304919 | PA      | $39842826.36   | 0.60%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1            | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3798833 | PA      | $3800785.39    | 0.06%             | 2044-02-25      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1547612 | PA      | $1604326.98    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596745 | PA      | $577001.55     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A35K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3239151 | PA      | $3405474.48    | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1A                           | CUSIP: 74942JAA2<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |   10826859 | PA      | $10784180.39   | 0.16%             | 2055-09-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUU62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2904174 | PA      | $2990268.96    | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38992160 | PA      | $38063373.27   | 0.57%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3028, Class FM                                        | CUSIP: 31396AFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8532 | PA      | $8492.88       | 0.00%             | 2035-09-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   84995690 | PA      | $84100120.06   | 1.26%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5980653 | PA      | $6089080.31    | 0.09%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BGDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2921248 | PA      | $2984870.44    | 0.04%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-109, Class BS                                     | CUSIP: 31398NTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41248 | PA      | $58558.46      | 0.00%             | 2040-10-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0226B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  443715414 | PA      | $384076512.64  | 5.76%             | 2055-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-A, Class B            | CUSIP: 80290CBU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     113580 | PA      | $113780.31     | 0.00%             | 2033-06-15      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2017-9, Class VL                                       | CUSIP: 3136AVYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263867 | PA      | $261047.19     | 0.00%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1168762 | PA      | $1184041.86    | 0.02%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BRDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1855094 | PA      | $1903654.44    | 0.03%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XLSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20188595 | PA      | $19410356.76   | 0.29%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BVVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3369629 | PA      | $3466541.75    | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60569670 | PA      | $63144367.83   | 0.95%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                           | CUSIP: 74942BAB7<br>LEI: 2549001985H26N17CK52 | Long             | ABS-O            | CORP              | US        |    3903263 | PA      | $3923291.55    | 0.06%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 31427NNH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30855269 | PA      | $29568985.06   | 0.44%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y64Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  197081360 | PA      | $203319085.61  | 3.05%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MWE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16054355 | PA      | $15802267.02   | 0.24%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2443434 | PA      | $2496332.72    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140FPAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228429 | PA      | $222081.44     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL3, Class A1                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22960123 | PA      | $22374413.27   | 0.34%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426DHJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1986218 | PA      | $2045304.40    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N4PD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4236880 | PA      | $4317634.96    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1        | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15216666 | PA      | $15329648.22   | 0.23%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                           | Other Note or Other Instrument                                             | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | STIV             | CORP              | CA        |      20950 | PA      | $20950.00      | 0.00%             | 2025-11-03      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3025632 | PA      | $2913378.82    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140LW5M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1389783 | PA      | $1429866.48    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                     | Flagship Credit Auto Trust, Series 2023-1, Class B                         | CUSIP: 337955AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3465690 | PA      | $3463914.79    | 0.05%             | 2028-01-18      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438774 | PA      | $421860.23     | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48172422 | PA      | $49015005.46   | 0.74%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7WH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1046676 | PA      | $1076529.43    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BNM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4702843 | PA      | $4825949.42    | 0.07%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class B                                      | CUSIP: 31684PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9603713 | PA      | $9647478.85    | 0.14%             | 2055-07-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y2M21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100110 | PA      | $99077.20      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1A                           | CUSIP: 74939WAA8<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    9053145 | PA      | $9070434.83    | 0.14%             | 2055-08-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QECU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926440 | PA      | $914649.59     | 0.01%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NDU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3296724 | PA      | $3369184.73    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XM5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25758475 | PA      | $24574788.00   | 0.37%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBSP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264065 | PA      | $1247896.32    | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CG6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5126254 | PA      | $5301990.77    | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2007-89, Class GF                                      | CUSIP: 31396XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13510 | PA      | $13510.49      | 0.00%             | 2037-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3765339 | PA      | $3726504.83    | 0.06%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class D                 | CUSIP: 02007G5G4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7612552 | PA      | $7623422.35    | 0.11%             | 2033-06-15      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM2, Class A1                             | CUSIP: 00250EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9707895 | PA      | $9785508.03    | 0.15%             | 2070-06-25      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                      | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2852122 | PA      | $2856523.47    | 0.04%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     501655 | PA      | $469833.51     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M2            | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4087000 | PA      | $4316466.57    | 0.06%             | 2042-06-25      | Floating      | 8.83%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust 2025       | GS Mortgage Backed Securities Trust, Series 2025-CES2, Class A1            | CUSIP: 36273BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10775312 | PA      | $10792393.53   | 0.16%             | 2055-09-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12760232 | PA      | $11671966.13   | 0.18%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B1          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10173542 | PA      | $10314338.93   | 0.15%             | 2032-05-20      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2HK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  135672019 | PA      | $139960271.11  | 2.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A1 | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5882000 | PA      | $5719908.04    | 0.09%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426CPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4475569 | PA      | $4608710.25    | 0.07%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Janus Henderson Cash Collateral Fund LLC       | Janus Henderson Cash Collateral Fund LLC                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | US        |      83800 | PA      | $83800.00      | 0.00%             | 2025-11-03      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270800 | PA      | $260753.16     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12445279 | PA      | $12505393.43   | 0.19%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NLSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11073713 | PA      | $11257879.82   | 0.17%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140K54D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210191 | PA      | $207736.23     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class B                                      | CUSIP: 31684NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6719000 | PA      | $6698253.07    | 0.10%             | 2055-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NG6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702253 | PA      | $717582.03     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                    | CUSIP: 3131Y6WK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2200 | PA      | $2025.68       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BVCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4103593 | PA      | $4222278.02    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426SHR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1752803 | PA      | $1806233.59    | 0.03%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334XYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271649 | PA      | $253411.60     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8HQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17766064 | PA      | $17027548.48   | 0.26%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X4WA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3459043 | PA      | $3325525.39    | 0.05%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229906 | PA      | $225343.21     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16745520 | PA      | $17240064.83   | 0.26%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                           | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6870000 | PA      | $6893535.93    | 0.10%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                        | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |   14550000 | PA      | $14671847.65   | 0.22%             | 2041-11-25      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Saluds Grade Alternative Mortgage Trust        | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class A1       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7388000 | PA      | $7369542.56    | 0.11%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class A                              | CUSIP: 00449TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7641861 | PA      | $7747352.29    | 0.12%             | 2039-05-25      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1974620 | PA      | $1943061.25    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2            | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6153382 | PA      | $6438978.58    | 0.10%             | 2041-12-25      | Floating      | 10.18%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M2            | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2457760 | PA      | $2464716.05    | 0.04%             | 2041-10-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1718090 | PA      | $1610635.10    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194980 | PA      | $178569.07     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1TN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6325853 | PA      | $6430542.13    | 0.10%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  188248183 | PA      | $191540832.46  | 2.87%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-21M, Class A                     | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862801 | PA      | $860572.22     | 0.01%             | 2036-10-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JWB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42947 | PA      | $42446.36      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176574 | PA      | $174509.28     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XNML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10695041 | PA      | $10282763.72   | 0.15%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1HF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23523944 | PA      | $24521321.52   | 0.37%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2025-CES2, Class A1               | CUSIP: 92842UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14677072 | PA      | $14686284.05   | 0.22%             | 2055-08-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-37, Class FW                                             | CUSIP: 38375KNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19391 | PA      | $19223.68      | 0.00%             | 2037-06-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                          | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1983012 | PA      | $2044439.44    | 0.03%             | 2057-10-25      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-95, Class FB                                      | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6155 | PA      | $6132.81       | 0.00%             | 2040-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0626B2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -46251000 | PA      | $-47885972.85  | -0.72%            | 2055-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q7YC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5409605 | PA      | $5220828.33    | 0.08%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3179762 | PA      | $3047582.48    | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32123 | PA      | $31237.81      | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BX5Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4817129 | PA      | $4941147.15    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ACME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1269823 | PA      | $1295990.55    | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class A      | CUSIP: 039943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1397290 | PA      | $1402775.47    | 0.02%             | 2028-04-17      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2920569 | PA      | $2890446.83    | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2013-5, Class A1                            | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     652557 | PA      | $581791.78     | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 5544, Class FC                                        | CUSIP: 3137HLNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90516252 | PA      | $90782408.96   | 1.36%             | 2055-06-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11054511 | PA      | $10940499.00   | 0.16%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A5SH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4594120 | PA      | $4830018.69    | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11152750 | PA      | $11022782.79   | 0.17%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-48, Class AF                                             | CUSIP: 38374LHM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15901 | PA      | $15726.06      | 0.00%             | 2035-06-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33158788 | PA      | $34142865.95   | 0.51%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     901410 | PA      | $835026.38     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |     851059 | PA      | $853120.91     | 0.01%             | 2034-01-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                           | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7426229 | PA      | $7482603.31    | 0.11%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140EU6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37850 | PA      | $35615.57      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-61, Class FA                                             | CUSIP: 38375LLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10071 | PA      | $10041.72      | 0.00%             | 2037-10-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138YR6F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     521481 | PA      | $506900.84     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36146850 | PA      | $37105520.05   | 0.56%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1          | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7750000 | PA      | $7787128.76    | 0.12%             | 2027-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A3                                       | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1684389.75    | 0.03%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -230 | NC      | $-99447.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N0FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29802366 | PA      | $30659502.01   | 0.46%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BJP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2781711 | PA      | $2842294.15    | 0.04%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CJWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3426855 | PA      | $3492757.13    | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3721, Class FB                                        | CUSIP: 3137GAD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42933 | PA      | $42805.78      | 0.00%             | 2040-09-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E05R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1687953 | PA      | $1622884.91    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ACNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301133 | PA      | $292418.07     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99941 | PA      | $88722.15      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1921945 | PA      | $1932103.16    | 0.03%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QU7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032787 | PA      | $1050372.94    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class M1                        | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |    9515888 | PA      | $9523042.58    | 0.14%             | 2045-09-25      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1495093 | PA      | $1534229.75    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  108289085 | PA      | $104114711.09  | 1.56%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237105 | PA      | $234341.90     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114888 | PA      | $108763.98     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-40, Class FG                                             | CUSIP: 38375KZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30474 | PA      | $30192.86      | 0.00%             | 2037-07-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3138WHP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8286 | PA      | $8006.81       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CKZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6474987 | PA      | $6666617.18    | 0.10%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4569446 | PA      | $4283306.36    | 0.06%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class A2                                 | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2304150 | PA      | $2310944.88    | 0.03%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9395450 | PA      | $9216731.94    | 0.14%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JYSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90994 | PA      | $80779.74      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES3, Class A1A              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7890471 | PA      | $7857046.30    | 0.12%             | 2060-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class C                                        | CUSIP: 05609RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2958012 | PA      | $2949020.11    | 0.04%             | 2026-10-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2EZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40492659 | PA      | $41726988.53   | 0.63%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-123, Class FL                                     | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9438 | PA      | $9399.19       | 0.00%             | 2040-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES2, Class A1B                     | CUSIP: 89182JAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     446218 | PA      | $449624.01     | 0.01%             | 2064-02-25      | Variable      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     728169 | PA      | $701322.08     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CKYJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1834493 | PA      | $1915385.93    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34514856 | PA      | $31592332.92   | 0.47%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1814843 | PA      | $1701196.80    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QPSS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17876269 | PA      | $17605929.80   | 0.26%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E0GW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5651933 | PA      | $5836307.17    | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  147859377 | PA      | $135296209.31  | 2.03%             | 2055-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617J6Q80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111629 | PA      | $108647.71     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class A                           | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1377188 | PA      | $1386554.75    | 0.02%             | 2030-11-15      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $12556208.75   | 0.19%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                              | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     694715 | PA      | $717722.48     | 0.01%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFRM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16784707 | PA      | $17360116.63   | 0.26%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110356 | PA      | $107260.92     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59459763 | PA      | $60952504.92   | 0.91%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22355088 | PA      | $20812964.55   | 0.31%             | 2058-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M1                        | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   14386614 | PA      | $14399309.74   | 0.22%             | 2045-02-25      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL3, Class A1                                       | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6340491 | PA      | $6089371.66    | 0.09%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class B            | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1898971 | PA      | $1918575.74    | 0.03%             | 2033-12-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   27410402 | PA      | $27670696.46   | 0.42%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                           | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-O            | CORP              | US        |    8812459 | PA      | $8882667.48    | 0.13%             | 2055-06-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL4, Class A1                                       | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8708852 | PA      | $8186461.81    | 0.12%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41135319 | PA      | $39368844.50   | 0.59%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X85L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13594901 | PA      | $13436473.88   | 0.20%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029601 | PA      | $964214.09     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154406 | PA      | $148677.28     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5596469 | PA      | $5788325.84    | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50422 | PA      | $49361.38      | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NJDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1363926 | PA      | $1393697.06    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BXJV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2575403 | PA      | $2649911.21    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M2                    | CUSIP: 46591HBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1728862 | PA      | $1692064.37    | 0.03%             | 2050-02-25      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68644 | PA      | $62820.63      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BSV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2843485 | PA      | $2917027.66    | 0.04%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427CQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3019356 | PA      | $3098393.49    | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2175834 | PA      | $2091958.92    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NEPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3353907 | PA      | $3409959.57    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   80000000 | PA      | $80829600.00   | 1.21%             | 2055-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406658 | PA      | $398649.30     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                           | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5293684 | PA      | $5333977.41    | 0.08%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6062020 | PA      | $5846530.42    | 0.09%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131XVQW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12613 | PA      | $11535.94      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-6, Class FG                                              | CUSIP: 38376TSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6858 | PA      | $6875.16       | 0.00%             | 2040-01-16      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1            | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6101775 | PA      | $6112930.61    | 0.09%             | 2045-05-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2003-87, Class FG                                      | CUSIP: 31393E4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8047 | PA      | $8038.64       | 0.00%             | 2033-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2024-RTL1, Class A1              | CUSIP: 43789FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17261000 | PA      | $17304295.77   | 0.26%             | 2029-07-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2757081 | PA      | $2807214.82    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                       | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50937018 | PA      | $51100311.29   | 0.77%             | 2055-03-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     750732 | PA      | $739585.65     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B1            | CUSIP: 20754KAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150000 | PA      | $1175246.36    | 0.02%             | 2041-11-25      | Floating      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class A                           | CUSIP: 02157JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8820371 | PA      | $8828488.32    | 0.13%             | 2039-05-16      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77858 | PA      | $78547.91      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                           | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4013335.20    | 0.06%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class B         | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    3289818 | PA      | $3298823.71    | 0.05%             | 2031-12-26      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFVA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1759876 | PA      | $1789001.19    | 0.03%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGMK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1725094 | PA      | $1797078.58    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132AEVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41414902 | PA      | $40435935.53   | 0.61%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1            | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     611471 | PA      | $611697.77     | 0.01%             | 2041-12-25      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BJWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12488162 | PA      | $12859664.80   | 0.19%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   19937000 | PA      | $20998439.40   | 0.32%             | 2041-10-25      | Floating      | 11.68%                | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class C                                        | CUSIP: 74939RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2750000 | PA      | $2751752.17    | 0.04%             | 2034-07-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QUUU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34001105 | PA      | $35545553.06   | 0.53%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3PN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49106687 | PA      | $50428380.22   | 0.76%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2M2            | CUSIP: 20753CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9254000 | PA      | $9277728.29    | 0.14%             | 2045-07-25      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3NX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34141479 | PA      | $35023990.39   | 0.53%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2410, Class FX                                        | CUSIP: 31339NJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9765 | PA      | $9727.03       | 0.00%             | 2032-02-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426DMQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56285904 | PA      | $57252811.72   | 0.86%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                    | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2942743 | PA      | $2910950.17    | 0.04%             | 2050-02-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                        | JPMorgan Mortgage Trust, Series 2015-4, Class AM                           | CUSIP: 46644VBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468349 | PA      | $409494.93     | 0.01%             | 2045-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1B       | CUSIP: 79581XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15693000 | PA      | $15668542.70   | 0.24%             | 2055-10-25      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8383 | PA      | $8096.41       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX1, Class A1                      | CUSIP: 89183MAA1<br>LEI: 2549009GWN99QN2XSG71 | Long             | ABS-O            | CORP              | US        |   12810188 | PA      | $12798816.83   | 0.19%             | 2065-09-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BLUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5659620 | PA      | $5827984.25    | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43484588 | PA      | $44582402.22   | 0.67%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8254619 | PA      | $8339185.92    | 0.13%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233947 | PA      | $1188166.35    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4682000 | PA      | $4693035.47    | 0.07%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class B           | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6243020 | PA      | $6272859.40    | 0.09%             | 2033-03-21      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426U6L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8676774 | PA      | $8934894.05    | 0.13%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1015336 | PA      | $977666.38     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2123857 | PA      | $2040350.83    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1205445 | PA      | $1178088.27    | 0.02%             | 2027-10-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   87817759 | PA      | $90077568.17   | 1.35%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A34G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924394 | PA      | $939666.89     | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5886053 | PA      | $5691309.21    | 0.09%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTUT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12877313 | PA      | $12744500.63   | 0.19%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-13, Class FB                                             | CUSIP: 38375PNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39881 | PA      | $39819.68      | 0.00%             | 2038-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427M6F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10378126 | PA      | $10189303.02   | 0.15%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1487446 | PA      | $1425869.21    | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     737085 | PA      | $664037.84     | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1             | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6750458 | PA      | $6708134.85    | 0.10%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUJB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13460686 | PA      | $13858220.00   | 0.21%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A           | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5038000 | PA      | $5071835.21    | 0.08%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108383 | PA      | $106248.77     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10989689 | PA      | $11366435.04   | 0.17%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                         | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4696288 | PA      | $4747470.27    | 0.07%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426U6V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2392724 | PA      | $2465661.28    | 0.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BDJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12674878 | PA      | $13051935.37   | 0.20%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-75, Class FP                                             | CUSIP: 38378EZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11542 | PA      | $11503.65      | 0.00%             | 2041-07-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302753 | PA      | $291082.51     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133WBM37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2215613 | PA      | $2281046.59    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14337660 | PA      | $14000589.11   | 0.21%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CLL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3509884 | PA      | $3613760.47    | 0.05%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2006-20, Class GF                                      | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55306 | PA      | $54896.56      | 0.00%             | 2036-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33555 | PA      | $32477.72      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XM4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11041221 | PA      | $11514198.96   | 0.17%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1827458 | PA      | $1896249.70    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3059526 | PA      | $2865223.86    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-16, Class VF                                      | CUSIP: 31392CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7159 | PA      | $7161.22       | 0.00%             | 2032-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGGH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4799628 | PA      | $4614363.52    | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3132DP3P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5715391 | PA      | $5642284.34    | 0.08%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                  | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                    | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     926546 | PA      | $937072.36     | 0.01%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19710979 | PA      | $18799100.57   | 0.28%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6116002 | PA      | $6052923.57    | 0.09%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426TXH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17629945 | PA      | $18153162.52   | 0.27%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2551, Class FD                                        | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12302 | PA      | $12274.03      | 0.00%             | 2033-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106867 | PA      | $101170.69     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1099881 | PA      | $1063004.03    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ACH52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17325 | PA      | $15855.36      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15178421 | PA      | $12779959.79   | 0.19%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4086160 | PA      | $3934560.97    | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A0BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3229692 | PA      | $3372106.87    | 0.05%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class C                                      | CUSIP: 31684PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12404507 | PA      | $12460733.95   | 0.19%             | 2055-07-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                        | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2488884 | PA      | $2478143.38    | 0.04%             | 2026-10-15      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24701518 | PA      | $23636866.80   | 0.35%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133CC4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4206605 | PA      | $4326242.21    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                      | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  157030627 | PA      | $157280730.78  | 2.36%             | 2055-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3138WJP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71727 | PA      | $64919.69      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133CDHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3509993 | PA      | $3609531.13    | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  265391000 | PA      | $264058737.18  | 3.96%             | 2055-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49569642 | PA      | $41763629.95   | 0.63%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2075263 | PA      | $2115755.75    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240351 | PA      | $220121.25     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1757757 | PA      | $1684990.33    | 0.03%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3414702 | PA      | $3272756.63    | 0.05%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3676974 | PA      | $3769396.51    | 0.06%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class B                                      | CUSIP: 31684HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2020763 | PA      | $2071407.41    | 0.03%             | 2054-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                        | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   10089878 | PA      | $10213120.91   | 0.15%             | 2041-12-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                     | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15445378 | PA      | $15097931.90   | 0.23%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2019-CH3, Class A19                         | CUSIP: 81748GBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80538 | PA      | $74495.91      | 0.00%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-125, Class VF                                            | CUSIP: 38377JYJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        364 | PA      | $362.45        | 0.00%             | 2040-06-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3676681 | PA      | $3534950.88    | 0.05%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1187207 | PA      | $1141441.92    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3738, Class FD                                        | CUSIP: 3137GAYQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7393 | PA      | $7389.25       | 0.00%             | 2040-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129268 | PA      | $126702.33     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133KN3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10667065 | PA      | $10530621.58   | 0.16%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4507 | PA      | $4454.55       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-59, Class FP                                             | CUSIP: 38374HYS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18764 | PA      | $18674.20      | 0.00%             | 2034-08-16      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2M1            | CUSIP: 20753CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13560780 | PA      | $13584480.77   | 0.20%             | 2045-07-25      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                             | CUSIP: 36179UQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132719 | PA      | $124747.24     | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class C                                      | CUSIP: 31684NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7623000 | PA      | $7599679.72    | 0.11%             | 2055-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1913480 | PA      | $1994608.68    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                          | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13519355 | PA      | $13941325.46   | 0.21%             | 2057-10-25      | Floating      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                        | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |   20019000 | PA      | $21069011.75   | 0.32%             | 2042-03-25      | Floating      | 9.43%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A1                                       | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15752667 | PA      | $15848868.76   | 0.24%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                     | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6591675 | PA      | $6463790.22    | 0.10%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BQK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2304788 | PA      | $2365120.69    | 0.04%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                    | CUSIP: 3132AED78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     828465 | PA      | $758736.47     | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235116 | PA      | $226052.48     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class C                                      | CUSIP: 31684LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4248112 | PA      | $4282893.24    | 0.06%             | 2055-05-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Janus Henderson Cash Liquidity Fund LLC        | Janus Henderson Cash Liquidity Fund LLC                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   63700968 | NS      | $63713708.28   | 0.96%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQ7F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70730371 | PA      | $72818657.99   | 1.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179630 | PA      | $177536.54     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XCKS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7092 | PA      | $6842.48       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust                  | Radian Mortgage Capital Trust, Series 2025-J4, Class A25                   | CUSIP: 75024UBP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41983000 | PA      | $41978952.84   | 0.63%             | 2056-03-25      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVG25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8781392 | PA      | $9016259.39    | 0.14%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6866868 | PA      | $7016755.77    | 0.11%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  411201194 | PA      | $409803521.14  | 6.15%             | 2055-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0306B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  203159962 | PA      | $182701144.35  | 2.74%             | 2055-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0T88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   71438973 | PA      | $73355074.57   | 1.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 1999-27, Class FE                                             | CUSIP: 3837H2WA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2213 | PA      | $2210.90       | 0.00%             | 2029-08-16      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                   | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     748297 | PA      | $754465.02     | 0.01%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  183586000 | PA      | $185080390.04  | 2.78%             | 2055-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC             | MetroNet Infrastructure Issuer LLC, Series 2025-2A, Class A2               | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   24600000 | PA      | $24868820.59   | 0.37%             | 2055-08-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604857 | PA      | $597808.70     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-2, Class QF                                       | CUSIP: 3136AB4P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24242 | PA      | $24183.82      | 0.00%             | 2043-02-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1   | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3548233 | PA      | $3474001.00    | 0.05%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class A                                      | CUSIP: 31684LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11388556 | PA      | $11478122.64   | 0.17%             | 2055-05-25      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7QG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11759760 | PA      | $12096133.04   | 0.18%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1814288 | PA      | $1746976.24    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1   | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |   20326272 | PA      | $19763787.45   | 0.30%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21430214 | PA      | $20635138.27   | 0.31%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24501524 | PA      | $24248823.84   | 0.36%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1VT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16718319 | PA      | $17213105.97   | 0.26%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-6, Class A1                                          | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7221181 | PA      | $7217879.47    | 0.11%             | 2028-08-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22730313 | PA      | $23694041.46   | 0.36%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10415939 | PA      | $9759958.77    | 0.15%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                           | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    9325000 | PA      | $9371146.63    | 0.14%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                           | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6341000 | PA      | $6370431.12    | 0.10%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10583887 | PA      | $10896372.69   | 0.16%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23477 | PA      | $23373.88      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class D                 | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1554142 | PA      | $1574508.39    | 0.02%             | 2032-05-17      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31425USJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7844995 | PA      | $7979998.70    | 0.12%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP, Class B                                      | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4194207 | PA      | $4183308.47    | 0.06%             | 2038-11-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1            | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5731336 | PA      | $5736654.93    | 0.09%             | 2045-01-25      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BLUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3998130 | PA      | $4120003.90    | 0.06%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133D1B81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20297518 | PA      | $20315412.25   | 0.30%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133D1CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5245334 | PA      | $5400243.95    | 0.08%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-CES3, Class M1                      | CUSIP: 891949AC3<br>LEI: 254900XDQGDYHMUKZJ77 | Long             | ABS-O            | CORP              | US        |   11840000 | PA      | $11777260.61   | 0.18%             | 2065-08-25      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-59, Class FA                                             | CUSIP: 38375LPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24178 | PA      | $24107.53      | 0.00%             | 2037-10-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A0A41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9196783 | PA      | $9468965.93    | 0.14%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQ2P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41096059 | PA      | $40617149.91   | 0.61%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NY60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38169170 | PA      | $36577986.13   | 0.55%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-FL1, Class A1                                     | CUSIP: 31684QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4557704 | PA      | $4558615.45    | 0.07%             | 2055-07-25      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUXS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21495890 | PA      | $21867550.69   | 0.33%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23019708 | PA      | $22132334.59   | 0.33%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5865381 | PA      | $6122506.62    | 0.09%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15447632 | PA      | $15903845.79   | 0.24%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29969164 | PA      | $29660072.93   | 0.44%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1540160 | PA      | $1483018.93    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NNSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2331300 | PA      | $2395535.82    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3469731 | PA      | $3125089.54    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1887950 | PA      | $1817905.60    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1B                           | CUSIP: 74942JAB0<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |   20733757 | PA      | $20706248.08   | 0.31%             | 2055-09-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3498483 | PA      | $3462400.43    | 0.05%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  153700000 | PA      | $149814771.40  | 2.25%             | 2055-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443826 | PA      | $415840.31     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1390765 | PA      | $1215649.55    | 0.02%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434744 | PA      | $1419946.91    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0506B7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -384287826 | PA      | $-382358701.11 | -5.74%            | 2055-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-J3, Class AF                                        | CUSIP: 67449KAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41590205 | PA      | $41589190.61   | 0.62%             | 2055-10-25      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B4VP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2300088 | PA      | $2368511.92    | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NG2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743357 | PA      | $763761.44     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                    | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30167475 | PA      | $30284138.51   | 0.45%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11636861 | PA      | $11688093.18   | 0.18%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418ATD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77582 | PA      | $71444.75      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1   | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |   14418479 | PA      | $14078857.07   | 0.21%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       3000 | NC      | $-211977.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133WFD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3934383 | PA      | $4050576.51    | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  114954688 | PA      | $108671379.71  | 1.63%             | 2055-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617J6W91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9055 | PA      | $9142.27       | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31346YWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294396 | PA      | $290958.50     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQ4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2811841 | PA      | $2519644.87    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28245414 | PA      | $27954100.89   | 0.42%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295202 | PA      | $284250.13     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                             | CUSIP: 36179UMA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145834 | PA      | $136615.09     | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142GUZ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76654284 | PA      | $78713771.11   | 1.18%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class B                                      | CUSIP: 31684LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4519268 | PA      | $4548131.12    | 0.07%             | 2055-05-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A5T65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3943913 | PA      | $4117822.00    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B            | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2313100 | PA      | $2339940.87    | 0.04%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1060039 | PA      | $992797.02     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524367 | PA      | $498563.16     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XN4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10449535 | PA      | $10897166.53   | 0.16%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1267452 | PA      | $1223275.52    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38101379 | PA      | $39226625.38   | 0.59%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL5, Class A1                                     | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12962000 | PA      | $12612846.49   | 0.19%             | 2070-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NC6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1875220 | PA      | $1923498.43    | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133USKN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39548180 | PA      | $38080915.19   | 0.57%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B6E68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6625630 | PA      | $6822731.98    | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1ND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9429605 | PA      | $9269948.07    | 0.14%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N43N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1136341 | PA      | $1162879.92    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CEP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5318035 | PA      | $5406045.17    | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B3U91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4458513 | PA      | $4591146.14    | 0.07%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418ALK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145860 | PA      | $134268.15     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2020-98, Class AI                                      | CUSIP: 3136BDLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18892656 | PA      | $4068259.44    | 0.06%             | 2061-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204004 | PA      | $201618.88     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17783796 | PA      | $18248973.69   | 0.27%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                        | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   23060148 | PA      | $23110557.67   | 0.35%             | 2045-02-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QUD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16980692 | PA      | $17251169.22   | 0.26%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class C                 | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2719748 | PA      | $2754745.75    | 0.04%             | 2032-05-17      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22661534 | PA      | $21820775.73   | 0.33%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167651 | PA      | $154321.24     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634196 | PA      | $621608.44     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES7, Class A1A                           | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11603885 | PA      | $11598836.10   | 0.17%             | 2044-10-25      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                  | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                    | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     586117 | PA      | $585410.95     | 0.01%             | 2038-04-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2022-65, Class FB                                      | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8430852 | PA      | $8358021.07    | 0.13%             | 2052-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426HA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8038482 | PA      | $8277046.47    | 0.12%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3138W7HB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330688 | PA      | $304526.71     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3138WJDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9598 | PA      | $9271.98       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                           | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9960000 | PA      | $10062356.93   | 0.15%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1M1            | CUSIP: 20754YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12268753 | PA      | $12275975.76   | 0.18%             | 2045-09-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class A                          | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1874984 | PA      | $1947629.03    | 0.03%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C3X27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375757 | PA      | $386850.71     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427M5L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19941259 | PA      | $19485769.21   | 0.29%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45978932 | PA      | $47140185.98   | 0.71%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NAUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4962067 | PA      | $5105216.75    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82668452 | PA      | $79247756.39   | 1.19%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31417GJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132770 | PA      | $122970.77     | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                            | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4840000 | PA      | $4841943.26    | 0.07%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2016459 | PA      | $1941598.21    | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82889 | PA      | $73584.64      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B         | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2443144 | PA      | $2463230.80    | 0.04%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1B                           | CUSIP: 74943AAB8<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |    9138803 | PA      | $9177701.32    | 0.14%             | 2055-07-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class A                                      | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9750732 | PA      | $9791022.55    | 0.15%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -95653000 | PA      | $-88151700.43  | -1.32%            | 2055-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 3380, Class FM                                        | CUSIP: 31397KTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44583 | PA      | $44530.48      | 0.00%             | 2037-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  115349151 | PA      | $110902622.29  | 1.66%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  101712037 | PA      | $104057722.97  | 1.56%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  402248255 | PA      | $326330332.84  | 4.90%             | 2055-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2426, Class FL                                        | CUSIP: 31339W7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16963 | PA      | $17017.89      | 0.00%             | 2032-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -486618400 | PA      | $-491664632.81 | -7.38%            | 2055-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y7DT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  215071974 | PA      | $218907907.79  | 3.28%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class B                                   | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1711961 | PA      | $1724862.70    | 0.03%             | 2031-04-25      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389009 | PA      | $360583.92     | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QFWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2036015 | PA      | $2012288.88    | 0.03%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4411484 | PA      | $4536505.66    | 0.07%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332691 | PA      | $317454.29     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N4PF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10148656 | PA      | $10364422.33   | 0.16%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  145351107 | PA      | $145218611.82  | 2.18%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-16, Class FC                                             | CUSIP: 383742FU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19503 | PA      | $19474.49      | 0.00%             | 2038-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1            | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433223 | PA      | $432960.78     | 0.01%             | 2041-12-25      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BFEM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2659557 | PA      | $2740627.68    | 0.04%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4190511 | PA      | $4209682.18    | 0.06%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-2A, Class B                          | CUSIP: 35042NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13050000 | PA      | $13161708.93   | 0.20%             | 2052-04-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1B                           | CUSIP: 74939WAB6<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    7449862 | PA      | $7452485.92    | 0.11%             | 2055-08-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NCWW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301813 | PA      | $1335417.23    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426XFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4695864 | PA      | $4818787.90    | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109005 | PA      | $107730.75     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class A                                             | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $13998635.49   | 0.21%             | 2041-06-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2892784 | PA      | $2998795.78    | 0.04%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359916 | PA      | $347122.11     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                           | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4532232 | PA      | $4542314.33    | 0.07%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-SDMF, Class A                                        | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5355350 | PA      | $5330254.85    | 0.08%             | 2034-09-15      | Floating      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-130, Class FN                                     | CUSIP: 3136AHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91687 | PA      | $90636.20      | 0.00%             | 2042-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1293469 | PA      | $1165137.04    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y3DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     939234 | PA      | $904365.10     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  105727919 | PA      | $107315988.07  | 1.61%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding             | Gracie Point International Funding, Series 2023-2A, Class A                | CUSIP: 38410JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     808251 | PA      | $809997.02     | 0.01%             | 2027-03-01      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13838748 | PA      | $13696020.18   | 0.21%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132Y1W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2751288 | PA      | $2652324.00    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18300410 | PA      | $16770901.21   | 0.25%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25385896 | PA      | $26093256.28   | 0.39%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-1A, Class A                                   | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244538 | PA      | $244782.58     | 0.00%             | 2031-02-18      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617GDT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127023 | PA      | $125247.68     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSYU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6667600 | PA      | $6864513.95    | 0.10%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1235175 | PA      | $1187561.27    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XMPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11306819 | PA      | $11175056.47   | 0.17%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C8EK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     838395 | PA      | $863148.58     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MYAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3970288 | PA      | $4056242.27    | 0.06%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1517652 | PA      | $1572081.99    | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171826 | PA      | $169817.30     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 5164, Class FA                                        | CUSIP: 3137H3PY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9765290 | PA      | $8975092.41    | 0.13%             | 2051-11-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ADPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6623146 | PA      | $6818747.36    | 0.10%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A2                                       | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2380125 | PA      | $2369786.45    | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40372386 | PA      | $41564701.89   | 0.62%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NRPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2313885 | PA      | $2415917.06    | 0.04%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                | Easy Street Mortgage Loan Trust, Series 2025-RTL2, Class A1                | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $4099513.33    | 0.06%             | 2040-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22013552 | PA      | $20814439.97   | 0.31%             | 2063-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2005-83, Class KT                                      | CUSIP: 31394FUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14524 | PA      | $14409.59      | 0.00%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22631261 | PA      | $20690595.23   | 0.31%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BPZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1180277 | PA      | $1211435.98    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4J62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     969999 | PA      | $1005546.98    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194780 | PA      | $177166.12     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2NG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38248585 | PA      | $36611990.86   | 0.55%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1062508 | PA      | $1046732.41    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1T23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5924027 | PA      | $6127112.80    | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  139226000 | PA      | $144147639.10  | 2.16%             | 2055-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2024-CES1, Class A1B                     | CUSIP: 89183CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1157895 | PA      | $1163824.37    | 0.02%             | 2064-01-25      | Variable      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                       | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |     534138 | PA      | $535057.27     | 0.01%             | 2042-02-25      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2            | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14835000 | PA      | $14912487.19   | 0.22%             | 2041-12-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -721596155 | PA      | $-684575385.86 | -10.27%           | 2055-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1A                           | CUSIP: 74943AAA0<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |   14810923 | PA      | $14913439.65   | 0.22%             | 2055-07-25      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605579 | PA      | $587289.76     | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NELG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4464130 | PA      | $4579059.97    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                           | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9284823 | PA      | $9338464.85    | 0.14%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-100, Class FG                                     | CUSIP: 3136A8QW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7630 | PA      | $7558.84       | 0.00%             | 2042-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class C         | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    1601045 | PA      | $1606886.36    | 0.02%             | 2031-12-26      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                               | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13792254 | PA      | $13865988.42   | 0.21%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     926972 | PA      | $921398.03     | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  688979354 | PA      | $610315136.26  | 9.16%             | 2055-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                | US Auto Funding, Series 2021-1A, Class C                                   | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1743847 | PA      | $1473848.59    | 0.02%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust, Series 2025-J3, Class A35                                  | CUSIP: 69392XBM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41972000 | PA      | $41974640.04   | 0.63%             | 2056-11-27      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1578606 | PA      | $1521898.48    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0606B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -490162167 | PA      | $-501205520.62 | -7.52%            | 2055-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-CES3, Class A1B                     | CUSIP: 891949BV0<br>LEI: 254900XDQGDYHMUKZJ77 | Long             | ABS-O            | CORP              | US        |    5269755 | PA      | $5264792.52    | 0.08%             | 2065-08-25      | Variable      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class C                 | CUSIP: 02007G5F6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11718853 | PA      | $11751994.67   | 0.18%             | 2033-06-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CDUZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8531379 | PA      | $8783869.59    | 0.13%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0U52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32929440 | PA      | $32589817.49   | 0.49%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1711613894 | PA      | $1452672386.05 | 21.79%            | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3375019 | PA      | $3463366.81    | 0.05%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072239 | PA      | $1056319.22    | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426A2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3664251 | PA      | $3772467.13    | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18413007 | PA      | $18223101.75   | 0.27%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CEQL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4312432 | PA      | $4440060.18    | 0.07%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M2            | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7526000 | PA      | $7529265.07    | 0.11%             | 2045-01-25      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WGR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1263349 | PA      | $1153445.14    | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436060 | PA      | $399129.82     | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B            | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3007000 | PA      | $3010845.35    | 0.05%             | 2028-03-01      | Floating      | 6.46%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -309 | NC      | $-1429442.34   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-18, Class FD                                             | CUSIP: 38375JC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7036 | PA      | $6970.31       | 0.00%             | 2037-04-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140AUYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6081260 | PA      | $6185910.97    | 0.09%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3RM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32766086 | PA      | $33586219.95   | 0.50%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367470 | PA      | $360233.66     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CG2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9419992 | PA      | $9742926.64    | 0.15%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19477065 | PA      | $16382161.47   | 0.25%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                        | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   43256272 | PA      | $44692065.83   | 0.67%             | 2042-02-25      | Floating      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12729652 | PA      | $12238943.42   | 0.18%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29311119 | PA      | $29817903.36   | 0.45%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136507 | PA      | $133797.37     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, REMIC, Series 2469, Class FE                                        | CUSIP: 31392RC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1734 | PA      | $1732.68       | 0.00%             | 2032-07-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1271 | NC      | $-1136540.77   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XKJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30320809 | PA      | $29838851.82   | 0.45%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23467092 | PA      | $22562472.01   | 0.34%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33655142 | PA      | $33091844.72   | 0.50%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F0426B4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -508608342 | PA      | $-495751740.33 | -7.44%            | 2055-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-5, Class A1                                          | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14990433 | PA      | $14972506.10   | 0.22%             | 2030-07-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes         | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1753608 | PA      | $1720750.96    | 0.03%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                         | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15444000 | PA      | $15717544.13   | 0.24%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WJTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306455 | PA      | $278589.10     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218173 | PA      | $210334.07     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-133, Class FD                                            | CUSIP: 38377MHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22175 | PA      | $22156.82      | 0.00%             | 2040-10-16      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2            | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4125699 | PA      | $4128676.01    | 0.06%             | 2044-09-25      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQVK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13341540 | PA      | $13735555.49   | 0.21%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes         | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A          | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     671134 | PA      | $669430.20     | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650323 | PA      | $609023.01     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140K8U25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2300695 | PA      | $2089599.12    | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                             | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18776 | PA      | $18539.20      | 0.00%             | 2035-08-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6897237 | PA      | $7100932.33    | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF4, Class A1                                       | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5331211 | PA      | $5279288.61    | 0.08%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-126, Class SY                                     | CUSIP: 3136A9ZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473554 | PA      | $235683.12     | 0.00%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE5, Class B                                      | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1430396 | PA      | $1433687.28    | 0.02%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157752 | PA      | $155409.70     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2024-RCF2, Class A1                                       | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2429903 | PA      | $2390702.35    | 0.04%             | 2054-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2024-HQA1, Class M1                        | CUSIP: 35564NBX0<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |    6946521 | PA      | $6954510.29    | 0.10%             | 2044-03-25      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131YDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325599 | PA      | $313041.67     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XKZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6904952 | PA      | $7108818.25    | 0.11%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7HP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1101561 | PA      | $1133070.20    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES10, Class A1A                          | CUSIP: 74939LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5450000 | PA      | $5430902.74    | 0.08%             | 2055-11-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15136548 | PA      | $15280495.93   | 0.23%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20439887 | PA      | $20994760.02   | 0.31%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54127 | PA      | $52663.04      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-116, Class LF                                            | CUSIP: 38384EFT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4799866 | PA      | $4818942.62    | 0.07%             | 2053-08-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162690 | PA      | $156654.49     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                        | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   26457865 | PA      | $26644962.01   | 0.40%             | 2041-09-25      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  118971129 | PA      | $117717571.50  | 1.77%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44457 | PA      | $42929.77      | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1VD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2638215 | PA      | $2681804.41    | 0.04%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A34Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2556895 | PA      | $2632567.90    | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-69, Class CF                                             | CUSIP: 38374JAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26397 | PA      | $26334.35      | 0.00%             | 2034-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                        | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    9213000 | PA      | $9399858.07    | 0.14%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: —       |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11959144 | PA      | $11763791.53   | 0.18%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                            | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2795870 | PA      | $2796230.20    | 0.04%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-01

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer