# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0001752724-25-156373
**Filing Date:** 2025-6
**Character Count:** 462802
**Document Hash:** a64340d4344645e93c2ecf96302b45a0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-156373.hdr.sgml**: 20250625

**ACCESSION NUMBER**: 0001752724-25-156373

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250625

**DATE AS OF CHANGE**: 20250625

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND IV
- **CENTRAL INDEX KEY:** 0001517936

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 251073531

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

**MAIL ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187

## Series and Classes Contracts Data

### First Trust Low Duration Opportunities ETF (Series ID: S000046204)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000144500 | First Trust Low Duration Opportunities ETF | LMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** First Trust Exchange-Traded Fund IV

- **b. Investment Company Act file number:** 811-22559

- **c. CIK number of Registrant:** 0001517936

- **d. LEI of Registrant:** 5493006CBTW7P2B31B80

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

  - **Street Address 1:** 120 East Liberty Drive

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

  - **Telephone number:** 630-765-8000

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

- **a. Name of Series:** First Trust Low Duration Opportunities ETF

- **b. EDGAR series identifier (if any):** S000046204

- **c. LEI of Series:** 549300ZVBPE1RKOPM784

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7621391517.54

**Total Liabilities:** $2670117018.85

**Net Assets:** $4951274498.69

**Delayed Delivery Securities:** $49293209.53

**Stand-by Commitments:** $1694316718.93

**Cash Not Reported:** $2870507.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1219.36878000 | **1-Year:** 131816.68651000 | **5-Year:** 1300860.14301000 | **10-Year:** 893691.79297000 | **30-Year:** 174805.97277000

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

- **3-Month:** 294.53448000 | **1-Year:** 18471.30148000 | **5-Year:** 53870.16484000 | **10-Year:** 7501.62912000 | **30-Year:** 117.35274000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144500 | 1.19%                | 0.39%                | 0.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5726640.72              | $77202038.12                               |
| Month 2  | $2971883.09              | $-12084820.19                              |
| Month 3  | $-1376479.11             | $11755440.56                               |

**Designated Index Information**

- **Index Name:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio.

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-87500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -524 | NC      | $-155562.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36291URZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60838 | PA      | $63326.93      | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398QFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323140 | PA      | $323537.54     | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A94X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5486509 | PA      | $701881.95     | 0.01%             | 2042-11-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379WTL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12188 | PA      | $12357.92      | 0.00%             | 2031-03-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATM76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2444470 | PA      | $419359.08     | 0.01%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-P009            | CUSIP: 3137H13X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33204591 | PA      | $1025616.75    | 0.02%             | 2031-01-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11871310 | PA      | $10823375.12   | 0.22%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179RGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28018 | PA      | $29265.89      | 0.00%             | 2045-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395K2B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     751311 | PA      | $806438.85     | 0.02%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2024-2       | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25229411 | PA      | $25201012.48   | 0.51%             | 2034-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378BM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20082452 | PA      | $13198944.37   | 0.27%             | 2055-01-16      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BDUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10868693 | PA      | $989137.99     | 0.02%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HHF89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24055627 | PA      | $23856325.81   | 0.48%             | 2054-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274669 | PA      | $271656.38     | 0.01%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380JLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4613167 | PA      | $2566429.62    | 0.05%             | 2059-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138A2HT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65846 | PA      | $65328.15      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A4N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776952 | PA      | $750511.39     | 0.02%             | 2042-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419MB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358903 | PA      | $361778.22     | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4937089 | PA      | $4966336.64    | 0.10%             | 2032-02-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PF22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18758330 | PA      | $14276192.34   | 0.29%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2   | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3750356 | PA      | $3612742.69    | 0.07%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797PG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $98942631.00   | 2.00%             | 2025-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14930018 | PA      | $13584214.13   | 0.27%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558000 | PA      | $572305.67     | 0.01%             | 2033-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633423 | PA      | $620575.64     | 0.01%             | 2037-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R04                    | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4955094 | PA      | $4941276.29    | 0.10%             | 2044-05-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137BKRL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  128644992 | PA      | $7808.75       | 0.00%             | 2043-06-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BFTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7127607 | PA      | $6503688.81    | 0.13%             | 2036-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311487 | PA      | $294120.89     | 0.01%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AWC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597364 | PA      | $438697.25     | 0.01%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22571588 | PA      | $20562020.10   | 0.42%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377U2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30668 | PA      | $301.71        | 0.00%             | 2038-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                             | VERUS SECURITIZATION TRUST 2025-3                               | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3121693.21    | 0.06%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339022 | PA      | $317633.25     | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AR3D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123929 | PA      | $117091.27     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AMMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8678 | PA      | $8631.67       | 0.00%             | 2040-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617G6N86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     327138 | PA      | $325287.02     | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378PXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     688000 | PA      | $657394.53     | 0.01%             | 2043-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A0JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116717 | PA      | $12859.03      | 0.00%             | 2033-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3622AAPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     869716 | PA      | $753786.67     | 0.02%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A8ZJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786606 | PA      | $15445.01      | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H13R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  145206294 | PA      | $6827338.58    | 0.14%             | 2031-05-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12542150 | PA      | $11307838.23   | 0.23%             | 2044-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H4RF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9492828 | PA      | $8078790.82    | 0.16%             | 2035-11-25      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297BH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154894 | PA      | $155406.16     | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BQLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9400986 | PA      | $7242350.12    | 0.15%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   96780183 | PA      | $260212.88     | 0.01%             | 2026-02-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2015-IVR2                              | CUSIP: 46644CAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     683259 | PA      | $683203.91     | 0.01%             | 2045-01-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17416809 | PA      | $16801655.70   | 0.34%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396HX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81265 | PA      | $88095.87      | 0.00%             | 2036-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A92Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108984 | PA      | $16563.26      | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BLDP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375619 | PA      | $390920.14     | 0.01%             | 2038-05-15      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40579 | PA      | $6020.87       | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQEU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7150255 | PA      | $868987.62     | 0.02%             | 2049-12-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398NNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62056 | PA      | $54489.13      | 0.00%             | 2040-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27057925 | PA      | $23998859.59   | 0.48%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| M360 Ltd.                                              | M360 2021-CRE3 Ltd                                              | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     944713 | PA      | $930345.86     | 0.02%             | 2038-11-22      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ARBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5099906 | PA      | $4820975.67    | 0.10%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410FWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50641 | PA      | $52906.09      | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6KR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75491745 | PA      | $72392841.73   | 1.46%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15314081 | PA      | $13826580.96   | 0.28%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256974 | PA      | $243602.68     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B1HG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     826035 | PA      | $725277.56     | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RPG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12534023 | PA      | $12331031.61   | 0.25%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ATPL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1896518 | PA      | $209782.93     | 0.00%             | 2042-08-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140899 | PA      | $135596.39     | 0.00%             | 2038-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376MDW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1687831 | PA      | $238294.27     | 0.00%             | 2047-01-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4468300 | PA      | $3975398.24    | 0.08%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                           | NY Commercial Mortgage Trust 2025-299P                          | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3230000 | PA      | $3336458.22    | 0.07%             | 2047-02-10      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36295QKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71692 | PA      | $72467.71      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES 2024-AFC1 Trust                                           | CUSIP: 403945AC2<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-MBS          | CORP              | US        |    5474005 | PA      | $5453489.82    | 0.11%             | 2059-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381ATW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9131033.00    | 0.18%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17889484 | PA      | $17216451.53   | 0.35%             | 2052-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK23                                                 | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7712719 | PA      | $203750.77     | 0.00%             | 2052-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3353682 | PA      | $3517301.71    | 0.07%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AFNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12725224 | PA      | $10505740.22   | 0.21%             | 2043-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11968111 | PA      | $11641246.71   | 0.24%             | 2050-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396X7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187431 | PA      | $195774.33     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43636000 | PA      | $2731884.14    | 0.06%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4053376 | PA      | $3960063.59    | 0.08%             | 2044-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL4 LLC                                              | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15755824 | PA      | $15245604.56   | 0.31%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                            | Houston Galleria Mall Trust 2025-HGLR                           | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5425000 | PA      | $5531855.14    | 0.11%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-INV2                              | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     902326 | PA      | $824673.97     | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                          | Starwood Mortgage Residential Trust 2022-3                      | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6922871 | PA      | $6788722.10    | 0.14%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374NV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     220579 | PA      | $219899.99     | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397PRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131091 | PA      | $136380.98     | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396CNQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1335363 | PA      | $1411257.49    | 0.03%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25393 | PA      | $935.67        | 0.00%             | 2039-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2021-NQM1                       | CUSIP: 10569TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2549683 | PA      | $2382687.09    | 0.05%             | 2049-02-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2025-NQM3                       | CUSIP: 105927AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     981910 | PA      | $985622.95     | 0.02%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374GSA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63940 | PA      | $64695.48      | 0.00%             | 2034-04-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73218 | PA      | $77092.15      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2022-1       | CUSIP: 35564CMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9227517.00    | 0.19%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797PK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $99695092.00   | 2.01%             | 2025-05-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393NTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7500 | PA      | $7536.26       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31379 | PA      | $30865.34      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GHBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150151 | PA      | $149952.32     | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617BFRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217735 | PA      | $210536.17     | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380XDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3392191 | PA      | $435425.65     | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398JGX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874078 | PA      | $873137.15     | 0.02%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BMNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     308770 | PA      | $226425.13     | 0.00%             | 2045-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393YES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50650 | PA      | $50368.44      | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AAZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435138 | PA      | $216981.87     | 0.00%             | 2042-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397SMA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151440 | PA      | $149595.98     | 0.00%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379WN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     690542 | PA      | $146118.70     | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8917916 | PA      | $7668536.48    | 0.15%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396VCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17310 | PA      | $17005.03      | 0.00%             | 2037-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H8VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9385014 | PA      | $7922602.68    | 0.16%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15372035 | PA      | $13353991.41   | 0.27%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                          | Citigroup Commercial Mortgage Trust 2016-P4                     | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   86892586 | PA      | $1163535.17    | 0.02%             | 2049-07-10      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                       | THREE-MONTH SOFR                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1000 | NC      | $-356250.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Diamond Resorts Owner Trust                            | Diamond Resorts Owner Trust 2021-1                              | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2007100 | PA      | $1983287.05    | 0.04%             | 2033-11-21      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Non Gold Pool                                       | CUSIP: 31342WBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694698 | PA      | $697964.23     | 0.01%             | 2048-12-01      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $624134.40     | 0.01%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2025-R02                    | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5611101 | PA      | $5589300.68    | 0.11%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-2                                    | CUSIP: 042858AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $8297897.40    | 0.17%             | 2049-04-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362033 | PA      | $355354.95     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AA2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22574309 | PA      | $20835651.36   | 0.42%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7619515 | PA      | $885974.29     | 0.02%             | 2050-01-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12991946 | PA      | $11169587.82   | 0.23%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65848592 | PA      | $507244.87     | 0.01%             | 2026-10-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228212 | PA      | $228007.61     | 0.00%             | 2040-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59029000 | PA      | $2155904.36    | 0.04%             | 2029-11-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262897 | PA      | $264253.93     | 0.01%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRVQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30555866 | PA      | $23946537.59   | 0.48%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40916 | PA      | $41185.23      | 0.00%             | 2040-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B8D30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12855348 | PA      | $12441680.87   | 0.25%             | 2050-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  158947629 | PA      | $2356716.49    | 0.05%             | 2031-01-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-107812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trus                         | BRAVO Residential Funding Trust 2021-NQM1                       | CUSIP: 10569TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1019873 | PA      | $956629.99     | 0.02%             | 2049-02-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B8YJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16963415 | PA      | $15489311.26   | 0.31%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65005 | PA      | $3639.09       | 0.00%             | 2043-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36230N2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63176 | PA      | $63145.44      | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13704117 | PA      | $12511602.73   | 0.25%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395DAL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31178 | PA      | $32746.00      | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64367000 | PA      | $2441594.79    | 0.05%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                             | SKY Trust 2025-LINE                                             | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2977000 | PA      | $2982156.46    | 0.06%             | 2042-04-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393RFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     770000 | PA      | $784471.07     | 0.02%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                         | BBCMS Trust 2021-C10                                            | CUSIP: 05551VBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $7437546.40    | 0.15%             | 2054-07-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -450 | NC      | $-555469.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18000000 | PA      | $17628750.00   | 0.36%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82758 | PA      | $82723.05      | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67111000 | PA      | $66879612.01   | 1.35%             | 2054-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44381305 | PA      | $4838454.36    | 0.10%             | 2035-05-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMD74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9669038 | PA      | $9471573.99    | 0.19%             | 2027-09-25      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170791 | PA      | $170658.68     | 0.00%             | 2034-12-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7YC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9012195 | PA      | $3943273.21    | 0.08%             | 2051-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36186G6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58035 | PA      | $57786.71      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11475000 | PA      | $11619976.30   | 0.23%             | 2032-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40534800 | PA      | $296386.41     | 0.01%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-42187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F83U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24471000 | PA      | $1407799.50    | 0.03%             | 2030-11-25      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66355 | PA      | $68421.29      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate                          | Cantor Commercial Real Estate Lending 2019-CF3                  | CUSIP: 12529TAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4907710 | PA      | $4740263.95    | 0.10%             | 2053-01-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65373 | PA      | $4025.92       | 0.00%             | 2038-04-16      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47620890 | PA      | $557350.13     | 0.01%             | 2026-07-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B8RV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9119008 | PA      | $1290203.82    | 0.03%             | 2050-02-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179NJF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67638 | PA      | $70650.29      | 0.00%             | 2043-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137APLG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58959 | PA      | $704.96        | 0.00%             | 2027-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36210BDM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29828 | PA      | $30841.81      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398MUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108757 | PA      | $95458.37      | 0.00%             | 2040-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -596 | NC      | $-707750.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396LC99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127377 | PA      | $125624.80     | 0.00%             | 2036-12-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60062 | PA      | $2329.99       | 0.00%             | 2038-09-20      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380BHQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     354763 | PA      | $247039.50     | 0.00%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374MLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128914 | PA      | $121330.54     | 0.00%             | 2035-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KHZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39003 | PA      | $34274.88      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FVAV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24941428 | PA      | $23879629.02   | 0.48%             | 2050-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380B3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303000 | PA      | $207761.10     | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2018-2                                  | CUSIP: 33851HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127959 | PA      | $125030.39     | 0.00%             | 2048-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJ5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35744866 | PA      | $32335430.35   | 0.65%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2276736 | PA      | $2206043.97    | 0.04%             | 2050-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -75 | NC      | $-73828.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379ENH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2008947 | PA      | $192138.33     | 0.00%             | 2044-08-20      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7FQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89946 | PA      | $91721.38      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     447489 | PA      | $384609.67     | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140QAHZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3297758 | PA      | $3109159.12    | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374JPK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146621 | PA      | $2463.02       | 0.00%             | 2034-10-16      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26386544 | PA      | $19429876.76   | 0.39%             | 2060-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7AV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5697336 | PA      | $5500436.56    | 0.11%             | 2052-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2024-DNA2                         | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |    6525075 | PA      | $6524846.83    | 0.13%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379NPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5303 | PA      | $0.01          | 0.00%             | 2037-05-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HAMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $10466574.00   | 0.21%             | 2031-06-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-4687.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F72T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77535017 | PA      | $4448463.05    | 0.09%             | 2030-10-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383LNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10173000 | PA      | $9322620.62    | 0.19%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQBX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7863325 | PA      | $7382876.89    | 0.15%             | 2044-03-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18636692 | PA      | $16921993.94   | 0.34%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F030660<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80388000 | PA      | $69784246.42   | 1.41%             | 2055-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FQY23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   79276000 | PA      | $4056941.37    | 0.08%             | 2028-09-27      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  156348456 | PA      | $8353228.95    | 0.17%             | 2034-04-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A0XA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550000 | PA      | $546208.25     | 0.01%             | 2040-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F052664<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24372000 | PA      | $24305105.93   | 0.49%             | 2055-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FVAT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32862873 | PA      | $31413525.44   | 0.63%             | 2050-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-8593.80      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MCXR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2206 | PA      | $2201.04       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MEZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4456 | PA      | $4443.93       | 0.00%             | 2029-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ANAM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875000 | PA      | $751421.21     | 0.02%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69514 | PA      | $60995.83      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                        | United States Treasury Inflation Indexed Bonds                  | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $11691392.51   | 0.24%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76446224 | PA      | $3924542.74    | 0.08%             | 2031-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BDZM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     922063 | PA      | $19261.72      | 0.00%             | 2028-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1079925 | PA      | $1041575.50    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378F3M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2223000 | PA      | $1850322.50    | 0.04%             | 2043-02-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379AWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4495822 | PA      | $39621.68      | 0.00%             | 2044-03-16      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -170 | NC      | $-204531.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 31329MUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9060473 | PA      | $8238726.65    | 0.17%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132VMK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1442959 | PA      | $1362152.48    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31339WW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56298 | PA      | $2983.13       | 0.00%             | 2029-01-15      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374LCL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71891 | PA      | $70802.47      | 0.00%             | 2035-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FTJK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4473472 | PA      | $4321316.49    | 0.09%             | 2049-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617ARK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     717800 | PA      | $695611.16     | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AJJJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13238194 | PA      | $12507653.18   | 0.25%             | 2039-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6026858 | PA      | $550775.31     | 0.01%             | 2035-11-16      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31405FTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130541 | PA      | $133175.95     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137H1M86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100924000 | PA      | $4704880.08    | 0.10%             | 2028-10-27      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -112 | NC      | $-106750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -100 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-2       | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13575389 | PA      | $12929921.31   | 0.26%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   71895763 | PA      | $4221963.64    | 0.09%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     974232 | PA      | $953651.00     | 0.02%             | 2037-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128UNBB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2011 | PA      | $2042.12       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VEB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8981396 | PA      | $8797239.26    | 0.18%             | 2046-02-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7EX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33673000 | PA      | $30939880.45   | 0.62%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032468<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4817128.25    | 0.10%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66340 | PA      | $61986.34      | 0.00%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383UTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8294085 | PA      | $8034300.48    | 0.16%             | 2052-08-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13219 | PA      | $12403.00      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1966 | NC      | $-2150312.50   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FannieMae Whole Loan                                   | Fannie Mae REMIC Trust 2007-W1                                  | CUSIP: 31396XD43<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |    1774168 | PA      | $1830819.76    | 0.04%             | 2047-06-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13951725 | PA      | $11196521.60   | 0.23%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A8AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2423226 | PA      | $2397332.53    | 0.05%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FP5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8665259 | PA      | $8383772.02    | 0.17%             | 2049-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31368HMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25648 | PA      | $26729.62      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31281LCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64183 | PA      | $64319.36      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52202 | PA      | $7488.11       | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RC96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15118099 | PA      | $11156742.70   | 0.23%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CJC6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45000000 | PA      | $45572167.80   | 0.92%             | 2026-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032450<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $28907457.00   | 0.58%             | 2040-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -460 | NC      | $-431250.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ABFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693588 | PA      | $593655.93     | 0.01%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690000 | PA      | $473065.31     | 0.01%             | 2043-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EKNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325985 | PA      | $305465.33     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FN3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2960837 | PA      | $2868600.78    | 0.06%             | 2049-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179UK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1645734 | PA      | $1719018.37    | 0.03%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHLH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22388806 | PA      | $20669728.69   | 0.42%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57790000 | PA      | $2534768.80    | 0.05%             | 2029-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7788645 | PA      | $7371164.20    | 0.15%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTZJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33646886 | PA      | $33642790.85   | 0.68%             | 2054-12-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A4LR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171331 | PA      | $149286.84     | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -25 | NC      | $-20312.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27801 | PA      | $29434.77      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384X5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11685069 | PA      | $11635473.32   | 0.23%             | 2054-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3   | CUSIP: 35563PLC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9830283 | PA      | $9215505.05    | 0.19%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PP62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7754271 | PA      | $5825132.94    | 0.12%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195852 | PA      | $152601.06     | 0.00%             | 2043-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4918651 | PA      | $4666684.47    | 0.09%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31409GV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29155 | PA      | $29474.13      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B27D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2427468 | PA      | $2356079.14    | 0.05%             | 2058-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70811000 | PA      | $1724155.80    | 0.03%             | 2027-10-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185849 | PA      | $168303.24     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -268 | NC      | $-75375.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7476 | PA      | $7556.00       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306347 | PA      | $300695.95     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5409387 | PA      | $5058116.98    | 0.10%             | 2037-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395BVS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26687 | PA      | $3126.09       | 0.00%             | 2036-03-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1Z58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  104284435 | PA      | $2429629.19    | 0.05%             | 2028-07-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AAP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16814342 | PA      | $15626477.60   | 0.32%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9750000 | PA      | $7536562.80    | 0.15%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JBEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8781781 | PA      | $7669104.15    | 0.15%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620AQAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     389728 | PA      | $372983.34     | 0.01%             | 2036-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                         | Wells Fargo Commercial Mortgage Trust 2018-C47                  | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |    3519700 | PA      | $3469395.74    | 0.07%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -248 | NC      | $-104625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A6AH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411740 | PA      | $374010.49     | 0.01%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BS3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2239036 | PA      | $2221797.96    | 0.04%             | 2035-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ACW96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1309672 | PA      | $1298076.03    | 0.03%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ANCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14704 | PA      | $13847.87      | 0.00%             | 2041-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2004-S2                                | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3364 | PA      | $3297.40       | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                          | NYO Commercial Mortgage Trust 2021-1290                         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300000 | PA      | $5267241.76    | 0.11%             | 2038-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31395BW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238637 | PA      | $10479.82      | 0.00%             | 2030-11-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B4PW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7625741 | PA      | $7492208.47    | 0.15%             | 2049-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B5SZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9959726 | PA      | $1014752.64    | 0.02%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7231381 | PA      | $6021055.36    | 0.12%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -100 | NC      | $-101562.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2024-10                            | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5773464 | PA      | $5795227.49    | 0.12%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138AKXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70958 | PA      | $71611.77      | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust 2018-CH1                                 | CUSIP: 81747DCC1<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |    4521518 | PA      | $4347208.98    | 0.09%             | 2048-03-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68098 | PA      | $66837.20      | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410LMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536084 | PA      | $524495.50     | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31403E7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12684 | PA      | $12755.55      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK43                                                 | CUSIP: 06541QAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3450000 | PA      | $3422344.11    | 0.07%             | 2055-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378NNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4367 | PA      | $4125.82       | 0.00%             | 2044-11-16      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2021-NQM4 Trust                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5482142 | PA      | $4629218.65    | 0.09%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128LXG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159179 | PA      | $161071.62     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -25 | NC      | $-781.25       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393EHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355000 | PA      | $347994.89     | 0.01%             | 2033-08-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379YEV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1923801 | PA      | $180152.85     | 0.00%             | 2040-05-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                          | Sierra Timeshare 2020-2 Receivables Funding LLC                 | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1370368 | PA      | $1363225.70    | 0.03%             | 2037-07-20      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76681 | PA      | $1871.77       | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380XHF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5834161 | PA      | $5324518.48    | 0.11%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM7 Trust                                             | CUSIP: 67121DAA2<br>LEI: 2549008GB179CC65SK60 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3019865.31    | 0.06%             | 2055-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50972681 | PA      | $2645696.22    | 0.05%             | 2063-06-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032666<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   88116000 | PA      | $79514791.93   | 1.61%             | 2055-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382AEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7945785 | PA      | $7430535.35    | 0.15%             | 2049-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378ACU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27899 | PA      | $2648.31       | 0.00%             | 2041-04-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-1562.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380RFV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9212536 | PA      | $3301742.01    | 0.07%             | 2062-06-16      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31413RK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79388 | PA      | $80854.80      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FNHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5497371 | PA      | $724567.79     | 0.01%             | 2049-06-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BRGT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94626 | PA      | $2634.35       | 0.00%             | 2054-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416XLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $659.52        | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420440 | PA      | $352956.14     | 0.01%             | 2043-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5402908 | PA      | $5331286.88    | 0.11%             | 2035-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3MR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22127468 | PA      | $20615843.44   | 0.42%             | 2048-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156863 | PA      | $145469.24     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23600000 | PA      | $21360128.72   | 0.43%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -321 | NC      | $-210656.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395TYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     785000 | PA      | $801771.05     | 0.02%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378GZP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     842859 | PA      | $16446.63      | 0.00%             | 2027-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F032658<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $18052441.00   | 0.36%             | 2055-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382AEP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1805860 | PA      | $27711.83      | 0.00%             | 2049-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2018-EXP1 Trust                                             | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     902555 | PA      | $858005.00     | 0.02%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADZ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800549 | PA      | $152754.04     | 0.00%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181904 | PA      | $191576.86     | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374HVU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25901 | PA      | $26269.96      | 0.00%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FF4B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  107703000 | PA      | $2380257.84    | 0.05%             | 2027-12-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68309795 | PA      | $2148821.21    | 0.04%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -100 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -185 | NC      | $-332421.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393VKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     648001 | PA      | $636023.44     | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BR2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136619 | PA      | $74878.62      | 0.00%             | 2043-08-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374Y6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     796841 | PA      | $33080.78      | 0.00%             | 2037-07-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2015-2                      | CUSIP: 64829EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3409988 | PA      | $3374697.98    | 0.07%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55652865 | PA      | $4092299.86    | 0.08%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| First Trust Commercial Mortgage Opportunities ETF      | First Trust Commercial Mortgage Opportunities ETF               | CUSIP: 33738D762<br>LEI: 254900TMRGSMLWIAPA66 | Long             | EC               | RF                | US        |      11808 | NS      | $240647.04     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mello Mortgage Capital Accepta                         | Mello Mortgage Capital Acceptance 2018-MTG2                     | CUSIP: 585499AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3598908 | PA      | $3457634.94    | 0.07%             | 2048-10-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381HJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20256234 | PA      | $11803114.27   | 0.24%             | 2063-05-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AMGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75397 | PA      | $1358.16       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2023-V2 Mortgage Trust                                | CUSIP: 08163TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  141013339 | PA      | $3737911.09    | 0.08%             | 2055-05-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -926 | NC      | $-3327812.50   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378KSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86759 | PA      | $72569.85      | 0.00%             | 2053-12-16      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $23.01         | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                         | CSAIL 2020-C19 Commercial Mortgage Trust                        | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56230970 | PA      | $2226515.87    | 0.04%             | 2053-03-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-1                                | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9483163 | PA      | $9232991.06    | 0.19%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A2HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2009791 | PA      | $1970463.88    | 0.04%             | 2041-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167670 | PA      | $161910.90     | 0.00%             | 2040-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200M7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45746 | PA      | $46171.82      | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750000 | PA      | $670042.05     | 0.01%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7EW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5673336 | PA      | $5450591.56    | 0.11%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60718 | PA      | $61699.15      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -2282 | NC      | $-4421375.00   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376JCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2489770 | PA      | $122137.17     | 0.00%             | 2036-04-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM6 Trust                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |    2456468 | PA      | $2471056.97    | 0.05%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410LA85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        344 | PA      | $345.51        | 0.00%             | 2025-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374MBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1386733 | PA      | $1390651.66    | 0.03%             | 2035-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3188175 | PA      | $2955919.30    | 0.06%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                           | WinWater Mortgage Loan Trust 2016-1                             | CUSIP: 97655JCB6<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |    2919257 | PA      | $2796212.95    | 0.06%             | 2046-01-20      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FTF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2515155 | PA      | $640324.26     | 0.01%             | 2049-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65302955 | PA      | $62952224.44   | 1.27%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MLC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18449157 | PA      | $13623464.14   | 0.28%             | 2060-06-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H7DA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88897 | PA      | $87526.58      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1389 | NC      | $-1953281.25   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-3       | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3276421 | PA      | $3116838.52    | 0.06%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34644271 | PA      | $33461280.40   | 0.68%             | 2033-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2024-HQA1                         | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $8025968.00    | 0.16%             | 2044-03-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6JT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9342638 | PA      | $691664.47     | 0.01%             | 2045-10-15      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36200NRJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58227 | PA      | $58921.07      | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18179029 | PA      | $17352677.72   | 0.35%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398SKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2821000 | PA      | $2695899.37    | 0.05%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3560 | PA      | $3726.78       | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392JGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4919 | PA      | $4857.42       | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AQT75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7140 | PA      | $36.07         | 0.00%             | 2044-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -86 | NC      | $-103468.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K8VV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233284 | PA      | $224106.53     | 0.00%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376K2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62556 | PA      | $63347.76      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | CoreVest American Finance 2021-2 Trust                          | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1065816 | PA      | $1024376.81    | 0.02%             | 2054-07-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HHSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34190876 | PA      | $34136416.39   | 0.69%             | 2054-12-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396AAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69459 | PA      | $7000.92       | 0.00%             | 2035-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22153 | PA      | $23068.83      | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36389632 | PA      | $33412762.54   | 0.67%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4822530 | PA      | $4879313.79    | 0.10%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381RHP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     797272 | PA      | $115185.58     | 0.00%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2822252 | PA      | $523126.41     | 0.01%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1663 | NC      | $-1688984.38   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FTZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   96907000 | PA      | $3396992.51    | 0.07%             | 2027-12-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398SGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146321 | PA      | $7752.64       | 0.00%             | 2040-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3113637 | PA      | $2893373.25    | 0.06%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FV2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44041372 | PA      | $1856462.72    | 0.04%             | 2028-12-27      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B27G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20899554 | PA      | $19461152.95   | 0.39%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BUDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22902758 | PA      | $22779946.82   | 0.46%             | 2054-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137APVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116962 | PA      | $1094.86       | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384BJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10738770 | PA      | $9594515.40    | 0.19%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XGEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10404656 | PA      | $10140164.39   | 0.20%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FJZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1781467 | PA      | $1776583.15    | 0.04%             | 2028-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -89 | NC      | $-47281.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20656144 | PA      | $14785605.76   | 0.30%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-RR19            | CUSIP: 3137H2P57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20098730 | PA      | $1104127.78    | 0.02%             | 2029-04-27      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B4HE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2450000 | PA      | $2322524.79    | 0.05%             | 2043-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36193FLA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135397 | PA      | $133837.19     | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                               | MSILF Treasury Portfolio                                        | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |  284460974 | NS      | $284460974.27  | 5.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MFN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1252992 | PA      | $1174146.30    | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GAFM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25634 | PA      | $128.15        | 0.00%             | 2025-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AL7G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140944 | PA      | $137672.23     | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665212 | PA      | $567439.87     | 0.01%             | 2044-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AU5M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12345159 | PA      | $10997939.61   | 0.22%             | 2047-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -561 | NC      | $-534703.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381AP59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3385962 | PA      | $3208214.64    | 0.06%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AV5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283975 | PA      | $6016.80       | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-2                             | CUSIP: 69545GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5000388.00    | 0.10%             | 2032-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AKVK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241893 | PA      | $103999.89     | 0.00%             | 2044-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FV2B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  112919000 | PA      | $8108577.89    | 0.16%             | 2029-01-27      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377UX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80943 | PA      | $5503.81       | 0.00%             | 2041-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8267 | PA      | $8617.09       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  113233000 | PA      | $6212132.23    | 0.13%             | 2031-08-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179RB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57480 | PA      | $59965.10      | 0.00%             | 2045-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H92G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28982146 | PA      | $28589973.83   | 0.58%             | 2052-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1259 | NC      | $-1672109.38   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BNRK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8214015 | PA      | $926857.14     | 0.02%             | 2046-04-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376T2N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9479 | PA      | $9126.98       | 0.00%             | 2040-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNA VI LLC                                             | FNA VI LLC                                                      | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3069693 | PA      | $2848932.05    | 0.06%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62315 | PA      | $60306.57      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2873 | PA      | $83.33         | 0.00%             | 2038-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418SYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3950 | PA      | $3968.90       | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13265156 | PA      | $12231011.40   | 0.25%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16151 | PA      | $15779.45      | 0.00%             | 2038-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KGD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275813 | PA      | $273831.42     | 0.01%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397TJN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103391 | PA      | $1351.62       | 0.00%             | 2038-05-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1710 | NC      | $-5664375.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                                             | MFRA 2024-NQM3 Trust                                            | CUSIP: 55287GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11172600 | PA      | $11271424.06   | 0.23%             | 2069-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29732988 | PA      | $27856896.25   | 0.56%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AN7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12867867 | PA      | $12416624.77   | 0.25%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FQA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7410714 | PA      | $7292209.06    | 0.15%             | 2049-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EQPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293866 | PA      | $295430.38     | 0.01%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AWVX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106567 | PA      | $2302.34       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36182D3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29332 | PA      | $27806.90      | 0.00%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HCUG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19968839 | PA      | $15496504.15   | 0.31%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 313920PF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1565 | PA      | $34.03         | 0.00%             | 2031-08-18      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382475 | PA      | $381447.26     | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -200 | NC      | $-265625.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -200 | NC      | $-190625.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FRTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15040155 | PA      | $14632899.56   | 0.30%             | 2050-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XH60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221623 | PA      | $230632.30     | 0.00%             | 2045-11-20      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398THN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239342 | PA      | $63349.69      | 0.00%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56531555 | PA      | $1821050.98    | 0.04%             | 2029-09-25      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126894 | PA      | $123669.81     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                         | Wells Fargo Mortgage Backed Securities 2019-1 Trust             | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171624 | PA      | $164764.59     | 0.00%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36290RU43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130923 | PA      | $130682.94     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                     | BMO 2024-5C3 Mortgage Trust                                     | CUSIP: 09660QAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   78500000 | PA      | $2824061.05    | 0.06%             | 2057-02-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375GGT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4864708 | PA      | $393130.70     | 0.01%             | 2042-07-16      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FNH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14014801 | PA      | $2726809.38    | 0.06%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -200 | NC      | $-593750.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JAJR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4209125 | PA      | $4116121.21    | 0.08%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     534961 | PA      | $543438.17     | 0.01%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376LWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     970639 | PA      | $3616.89       | 0.00%             | 2035-07-20      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FJG45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     476800 | PA      | $462247.41     | 0.01%             | 2048-11-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379JUY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11307643 | PA      | $10132077.08   | 0.20%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BPRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26214856 | PA      | $20692504.86   | 0.42%             | 2053-01-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137A62R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2000285 | PA      | $2035890.08    | 0.04%             | 2041-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF 2019-KL04 Mortgage Trust                                  | CUSIP: 30297TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7498000 | PA      | $7427140.90    | 0.15%             | 2025-10-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42388 | PA      | $43889.59      | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                            | Capital Street Master Trust                                     | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5001155.00    | 0.10%             | 2028-10-16      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -25 | NC      | $-7031.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1132915 | PA      | $1129684.88    | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2019-2                                  | CUSIP: 33852BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1218897 | PA      | $1098494.13    | 0.02%             | 2049-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22708992 | PA      | $22543547.98   | 0.46%             | 2054-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13315931 | PA      | $11978003.09   | 0.24%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   78491000 | PA      | $3606724.24    | 0.07%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373SM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176308 | PA      | $175819.36     | 0.00%             | 2033-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2018-RPL9 Trust                                            | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246917 | PA      | $238883.23     | 0.00%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR 2020-SFR4 Trust                                            | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4219437 | PA      | $4145540.74    | 0.08%             | 2037-11-17      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140GYPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9693 | PA      | $9444.70       | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GAFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36398 | PA      | $2545.02       | 0.00%             | 2030-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -31 | NC      | $-39234.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MDBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20037 | PA      | $19950.58      | 0.00%             | 2026-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64993000 | PA      | $2754238.91    | 0.06%             | 2029-10-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140J8JM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9486733 | PA      | $9148099.17    | 0.18%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HQPT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271352 | PA      | $254596.66     | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | Ellington Financial Mortgage Trust 2022-2                       | CUSIP: 31572YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5626251 | PA      | $5586311.25    | 0.11%             | 2067-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WMLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55373 | PA      | $50511.19      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31396FPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26119 | PA      | $26449.69      | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TLD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     953680 | PA      | $753782.28     | 0.02%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XDN28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3741865 | PA      | $3656189.28    | 0.07%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3013834 | PA      | $2905607.23    | 0.06%             | 2035-05-16      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -104 | NC      | $-95875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383PC90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13515282 | PA      | $10480943.40   | 0.21%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5375486 | PA      | $5281910.94    | 0.11%             | 2046-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132FTAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369981 | PA      | $1363395.71    | 0.03%             | 2035-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396QAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1613490 | PA      | $1632610.44    | 0.03%             | 2037-02-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR14            | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34897468 | PA      | $4865760.94    | 0.10%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7L61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41046 | PA      | $40815.55      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418ALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38612 | PA      | $34968.13      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58600000 | PA      | $59530504.13   | 1.20%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AG6S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14653686 | PA      | $14151306.80   | 0.29%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31339NKJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113359 | PA      | $116033.85     | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 5YR NOTE (CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -12 | NC      | $-10247.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363674 | PA      | $389570.05     | 0.01%             | 2035-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371NGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3729 | PA      | $3697.23       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13186646 | PA      | $10991631.25   | 0.22%             | 2053-04-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F5MU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13116279 | PA      | $12404551.30   | 0.25%             | 2048-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4371329 | PA      | $370381.00     | 0.01%             | 2046-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H8UD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  200000000 | PA      | $3690812.00    | 0.07%             | 2032-08-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52910 | PA      | $54523.28      | 0.00%             | 2040-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FXQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51000000 | PA      | $2724904.50    | 0.06%             | 2030-10-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13994 | PA      | $14351.25      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BLTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54517 | PA      | $4898.10       | 0.00%             | 2035-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US ULTRA BOND CBT                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -2137 | NC      | $-3382736.49   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H63G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3116982 | PA      | $2885257.76    | 0.06%             | 2037-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376UJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3027007 | PA      | $407467.87     | 0.01%             | 2047-04-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77389 | PA      | $5027.37       | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNQN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6028124 | PA      | $5617112.12    | 0.11%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $10129101.60   | 0.20%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4453030 | PA      | $4505874.72    | 0.09%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A6D61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3064028 | PA      | $2978022.25    | 0.06%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398EDX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1049395 | PA      | $1071867.30    | 0.02%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WA4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1718954 | PA      | $1728484.00    | 0.03%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393DRP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6208 | PA      | $6192.27       | 0.00%             | 2027-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 2YR NOTE (CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3040 | NC      | $4281566.87    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10917513 | PA      | $8287154.41    | 0.17%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128KHFQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49857 | PA      | $51450.78      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106899 | PA      | $9569.32       | 0.00%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13609490 | PA      | $12185156.30   | 0.25%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36179QN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9259 | PA      | $8362.76       | 0.00%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393CSV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215830 | PA      | $222847.21     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379CUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13298 | PA      | $717.29        | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249611 | PA      | $240798.32     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2025-SFR1 Trust                            | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5500000 | PA      | $5169597.95    | 0.10%             | 2042-02-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                         | FirstKey Homes 2020-SFR1 Trust                                  | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4062624 | PA      | $4007789.34    | 0.08%             | 2037-08-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 10YR NOTE (CBT)                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -3264 | NC      | $-7701657.05   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797QL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $98641947.00   | 1.99%             | 2025-08-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398LXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     454269 | PA      | $467014.21     | 0.01%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BA4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7297675 | PA      | $7107655.18    | 0.14%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $39112024.00   | 0.79%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RK55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9025108 | PA      | $4528693.50    | 0.09%             | 2052-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5059438 | PA      | $511377.95     | 0.01%             | 2042-09-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL3 LLC                                              | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9296506 | PA      | $8996474.89    | 0.18%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335A3R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147886 | PA      | $131971.92     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31410K5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6524 | PA      | $6897.62       | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77121111 | PA      | $3018049.86    | 0.06%             | 2030-11-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US LONG BOND(CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -622 | NC      | $616357.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M8UG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119319 | PA      | $120595.09     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F040669<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49496000 | PA      | $46122548.15   | 0.93%             | 2055-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9GH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266933 | PA      | $272196.83     | 0.01%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335ADT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250387 | PA      | $258391.15     | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JB4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6419062 | PA      | $5796750.35    | 0.12%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AT5V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     751440 | PA      | $671720.93     | 0.01%             | 2042-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AYVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5753763 | PA      | $5136344.09    | 0.10%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AATY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42317 | PA      | $42526.98      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31385XQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6125 | PA      | $6337.66       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622A2E99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139671 | PA      | $141416.07     | 0.00%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -100 | NC      | $-89062.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | U.S. TREASURY BOND                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -228 | NC      | $-356250.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AQK69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74821 | PA      | $71348.85      | 0.00%             | 2035-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TYW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161328 | PA      | $18726.23      | 0.00%             | 2043-01-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21489605 | PA      | $18146645.58   | 0.37%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107000 | PA      | $105686.17     | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13809758 | PA      | $12813968.08   | 0.26%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2018-4                      | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6859508 | PA      | $6695214.24    | 0.14%             | 2048-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Secu                         | Citigroup Global Markets Mortgage Securities VII Inc            | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |        217 | PA      | $216.52        | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417Y2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1884 | PA      | $1922.36       | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B22X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $435675.65     | 0.01%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38384VNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9744401 | PA      | $9888602.11    | 0.20%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -171 | NC      | $-64125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JB2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14786261 | PA      | $13950982.04   | 0.28%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3622A2QQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2266830 | PA      | $2274346.20    | 0.05%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F040651<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   22400000 | PA      | $20878554.59   | 0.42%             | 2055-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297BHR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37188 | PA      | $37310.80      | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FX3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63500000 | PA      | $4249172.35    | 0.09%             | 2030-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Trust 2025-1535                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1480000 | PA      | $1515444.82    | 0.03%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                 | CUSIP: 3136BPRX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25648800 | PA      | $24991326.10   | 0.50%             | 2037-12-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B16B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732650 | PA      | $704404.36     | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AAFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431753 | PA      | $366260.52     | 0.01%             | 2042-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUM92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29499354 | PA      | $28008350.45   | 0.57%             | 2044-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -57 | NC      | $-52546.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15585335 | PA      | $736813.84     | 0.01%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F050650<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $39162024.00   | 0.79%             | 2055-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BYGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $496134.78     | 0.01%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37398294 | PA      | $36101122.74   | 0.73%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HM7C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53053 | PA      | $49776.68      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ALAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260989 | PA      | $270180.19     | 0.01%             | 2040-08-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XHHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36455530 | PA      | $35889383.59   | 0.72%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62599 | PA      | $63784.20      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 3132HTUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3986760 | PA      | $3074774.13    | 0.06%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1333649 | PA      | $1358337.49    | 0.03%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 2 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -200 | NC      | $-75000.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAHL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2809009 | PA      | $2353578.14    | 0.05%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WHAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135290 | PA      | $122538.45     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DM6Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8471737 | PA      | $7869606.33    | 0.16%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EQYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     744698 | PA      | $747246.18     | 0.02%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56339791 | PA      | $3013739.36    | 0.06%             | 2034-08-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376GL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2764233 | PA      | $2521923.83    | 0.05%             | 2052-09-16      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38385EQX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11004238 | PA      | $10729121.39   | 0.22%             | 2036-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TTN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606612 | PA      | $600278.86     | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003000 | PA      | $972827.45     | 0.02%             | 2041-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398G3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224158 | PA      | $208506.33     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 10 YEAR U.S. TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -174 | NC      | $-144093.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397QNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120976 | PA      | $122117.19     | 0.00%             | 2040-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379KAF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17540245 | PA      | $15730805.33   | 0.32%             | 2055-05-16      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31408FKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155287 | PA      | $160053.75     | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381A3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6137221 | PA      | $5824289.09    | 0.12%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AVJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23168 | PA      | $3190.05       | 0.00%             | 2042-10-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18108402 | PA      | $15150541.04   | 0.31%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375XME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283794 | PA      | $2792.73       | 0.00%             | 2038-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL6 Trust                                            | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1012437 | PA      | $914321.50     | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XFBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11168542 | PA      | $9949805.56    | 0.20%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F050668<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   84984000 | PA      | $83153840.67   | 1.68%             | 2055-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | ULTRA U.S. TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -57 | NC      | $-27609.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24006055 | PA      | $1899865.60    | 0.04%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7L27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15548674 | PA      | $13430122.04   | 0.27%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9KK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9637347 | PA      | $9569064.16    | 0.19%             | 2042-06-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Trust 2025-1535                                            | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3595000 | PA      | $3684145.22    | 0.07%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398EXD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177000 | PA      | $175373.02     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210573 | PA      | $165724.88     | 0.00%             | 2046-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397RDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131163 | PA      | $131360.30     | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1712 | PA      | $1791.60       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56477446 | PA      | $5345228.83    | 0.11%             | 2035-07-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -166060000 | PA      | $-168226084.98 | -3.40%            | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | US 10YR ULTRA                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -6492 | NC      | $-12838544.35  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2019-HY2                              | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3484312 | PA      | $3574768.83    | 0.07%             | 2058-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X6FD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23677624 | PA      | $21848010.00   | 0.44%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XKN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1365756 | PA      | $1332754.56    | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                              | BPR Trust 2021-WILL                                             | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4388010 | PA      | $4347449.02    | 0.09%             | 2038-06-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9MP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31920 | PA      | $30709.47      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24239 | PA      | $25629.37      | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AXJW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108966 | PA      | $619.74        | 0.00%             | 2031-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT 2025 NPL2 LLC                                     | VCAT 2025-NPL2 A1 01/55                                         | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4332175 | PA      | $4325366.93    | 0.09%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750000 | PA      | $605054.25     | 0.01%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                         | CFCRE Commercial Mortgage Trust 2017-C8                         | CUSIP: 12532CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  203471089 | PA      | $4516976.79    | 0.09%             | 2050-06-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-RR15            | CUSIP: 3137F92K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  112345000 | PA      | $10899824.25   | 0.22%             | 2034-10-27      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H3HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59333 | PA      | $55416.07      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2016-3                      | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2191488 | PA      | $2137020.48    | 0.04%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  114400427 | PA      | $7407141.65    | 0.15%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374BDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148439 | PA      | $148950.86     | 0.00%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132XXEZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303039 | PA      | $297398.84     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21025489 | PA      | $20533031.71   | 0.41%             | 2052-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374UNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2095265 | PA      | $2212883.23    | 0.04%             | 2039-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378FUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49793 | PA      | $6069.58       | 0.00%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132D9H56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8573125 | PA      | $7797812.43    | 0.16%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378UBE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     599955 | PA      | $77297.16      | 0.00%             | 2043-09-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393XRL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145150 | PA      | $151236.07     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622A2ZG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305631 | PA      | $309383.84     | 0.01%             | 2041-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     565583 | PA      | $567453.21     | 0.01%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9700000 | PA      | $9847860.98    | 0.20%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust Series 2025-3                          | CUSIP: 46593RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11850000 | PA      | $11975093.34   | 0.24%             | 2055-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20677 | PA      | $21302.84      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31393XSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158323 | PA      | $164960.78     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36180BA35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275702 | PA      | $268514.70     | 0.01%             | 2033-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132AC2L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41807047 | PA      | $36872221.19   | 0.74%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394CCQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177778 | PA      | $1160.22       | 0.00%             | 2033-07-25      | Floating      | 0.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38381EWE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23755780 | PA      | $12086848.07   | 0.24%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374VSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3732339 | PA      | $3738780.29    | 0.08%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AXAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13216223 | PA      | $11536743.46   | 0.23%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2120779 | PA      | $1741180.81    | 0.04%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $6961006.40    | 0.14%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BPBU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160437 | PA      | $109948.83     | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157192 | PA      | $163018.39     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRU JP-7382 SB FRN 12/49                              | STRU JP-7382 SB FRN 12/49                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   23372019 | PA      | $21940482.84   | 0.44%             | 2049-12-31      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FP81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19759118 | PA      | $4427716.08    | 0.09%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380RAP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6700000 | PA      | $3438929.37    | 0.07%             | 2062-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A9N98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176372 | PA      | $171257.82     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142554 | PA      | $128154.73     | 0.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -401 | NC      | $-291351.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376LU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239265 | PA      | $236937.74     | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941987 | PA      | $911246.08     | 0.02%             | 2048-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B06R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2835358 | PA      | $2351218.89    | 0.05%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36176DKS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222860 | PA      | $217667.45     | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AFGX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2101614 | PA      | $2053978.86    | 0.04%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2018-MP                          | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4527000 | PA      | $4241306.46    | 0.09%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398GJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958620 | PA      | $997662.58     | 0.02%             | 2039-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61832 | PA      | $4056.61       | 0.00%             | 2041-04-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132XXS34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494609 | PA      | $485916.48     | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31394YH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192382 | PA      | $196680.91     | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30881279 | PA      | $28874982.17   | 0.58%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FRNY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8706789 | PA      | $7722082.51    | 0.16%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FPVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8894201 | PA      | $8625252.48    | 0.17%             | 2049-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36225B3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26913 | PA      | $28236.96      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138A2CR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213623 | PA      | $197535.96     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust                           | WinWater Mortgage Loan Trust 2016-1                             | CUSIP: 97655JBS0<br>LEI: 5493007FSEV8PHXVE122 | Long             | ABS-MBS          | CORP              | US        |     636870 | PA      | $614714.36     | 0.01%             | 2030-12-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37151661 | PA      | $2037961.79    | 0.04%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BMNX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     522670 | PA      | $382357.60     | 0.01%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FLEW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3606255 | PA      | $3244447.25    | 0.07%             | 2049-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32474881 | PA      | $29086939.14   | 0.59%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419JSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1879815 | PA      | $1897568.85    | 0.04%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379PC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3190417 | PA      | $266495.86     | 0.01%             | 2045-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375XBM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335110 | PA      | $341982.37     | 0.01%             | 2038-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6RQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15971818 | PA      | $15009105.65   | 0.30%             | 2050-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AYFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94521 | PA      | $92885.26      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2020-INV1                              | CUSIP: 46591VBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3401277 | PA      | $3062280.30    | 0.06%             | 2050-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8974958 | PA      | $8271853.70    | 0.17%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325TN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256854 | PA      | $28347.61      | 0.00%             | 2042-08-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379VYP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4838273 | PA      | $4753114.60    | 0.10%             | 2043-11-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6UD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14655089 | PA      | $11398851.66   | 0.23%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R05                    | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4790303 | PA      | $4766511.89    | 0.10%             | 2044-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394ERF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1297174 | PA      | $1324389.93    | 0.03%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac STACR REMIC Trust 2025-DNA1                         | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |    2337500 | PA      | $2327428.18    | 0.05%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36183KUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240794 | PA      | $233428.85     | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QPM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194109 | PA      | $15608.13      | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                         | Wells Fargo Commercial Mortgage Trust 2021-C61                  | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4636106.00    | 0.09%             | 2054-11-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                         | Provident Funding Mortgage Trust 2019-1                         | CUSIP: 74387LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1057665 | PA      | $916025.59     | 0.02%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ALJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16148 | PA      | $16000.59      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376T7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6614151 | PA      | $5522179.76    | 0.11%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                        | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4005744.00    | 0.08%             | 2041-11-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2025-NQM1 Trust                                             | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |    1965001 | PA      | $1975842.26    | 0.04%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FQ3C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  123557564 | PA      | $3026530.16    | 0.06%             | 2029-09-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9C80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4638417 | PA      | $4584384.04    | 0.09%             | 2031-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2   | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1906274 | PA      | $1896321.37    | 0.04%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                         | CWABS Inc Asset-Backed Certificates Trust 2004-5                | CUSIP: 1266716K7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     122584 | PA      | $122453.15     | 0.00%             | 2034-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379CA89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     662444 | PA      | $641909.52     | 0.01%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                | Fannie Mae Grantor Trust 2002-T8                                | CUSIP: 31392DSE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13726096 | PA      | $14420698.23   | 0.29%             | 2032-07-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                                 | Oscar US Funding XVII LLC                                       | CUSIP: 68784BAC8<br>LEI: 353800UI8625NXT7ND41 | Long             | ABS-O            | CORP              | US        |    4900000 | PA      | $4869586.83    | 0.10%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377LBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1406100 | PA      | $1411885.73    | 0.03%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                         | Vista Point Securitization Trust 2020-1                         | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6662000 | PA      | $6552246.88    | 0.13%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31244 | PA      | $31637.36      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ANZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1287613 | PA      | $1210092.57    | 0.02%             | 2042-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3129882Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500214 | PA      | $499034.60     | 0.01%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620ARQ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     566401 | PA      | $549272.98     | 0.01%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11510000 | PA      | $9281604.15    | 0.19%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380YZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4105511 | PA      | $659589.79     | 0.01%             | 2044-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376PWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     732000 | PA      | $735807.79     | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136592 | PA      | $15639.53      | 0.00%             | 2046-12-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397KTL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45811 | PA      | $44689.16      | 0.00%             | 2036-11-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru                         | Provident Funding Mortgage Trust 2020-1                         | CUSIP: 743874AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2281158 | PA      | $1956976.91    | 0.04%             | 2050-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2019-IMC                           | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4709794 | PA      | $4659406.70    | 0.09%             | 2034-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K96H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53171 | PA      | $54758.01      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103391 | PA      | $90756.88      | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140J9J77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3256705 | PA      | $3288918.23    | 0.07%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383T5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $10305909.60   | 0.21%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     757165 | PA      | $84767.60      | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     719611 | PA      | $724544.70     | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JLQM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784942 | PA      | $732329.59     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AFH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418356 | PA      | $409620.03     | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11954933 | PA      | $8883320.75    | 0.18%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398PHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $503054.10     | 0.01%             | 2040-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AYT37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2391292 | PA      | $1993195.54    | 0.04%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45231 | PA      | $45729.05      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A6A53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33425 | PA      | $687.14        | 0.00%             | 2027-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4411840 | PA      | $2707610.33    | 0.05%             | 2059-05-16      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AWMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216787 | PA      | $34947.68      | 0.00%             | 2042-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9570 | PA      | $9534.31       | 0.00%             | 2031-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F042665<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -2000000 | PA      | $-1912031.86   | -0.04%            | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     617855 | PA      | $43728.87      | 0.00%             | 2039-09-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 3133Q3ND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5231002 | PA      | $4519242.48    | 0.09%             | 2054-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383T5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22341349 | PA      | $19215405.54   | 0.39%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2022-R02                    | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5104173.50    | 0.10%             | 2042-01-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128KV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108464 | PA      | $111931.02     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTZM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   89238340 | PA      | $8995911.77    | 0.18%             | 2035-02-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BQGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6459084 | PA      | $5296052.24    | 0.11%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B3FV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11838 | PA      | $6587.60       | 0.00%             | 2043-01-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36297GP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85526 | PA      | $82587.27      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39727 | PA      | $3492.67       | 0.00%             | 2035-05-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   72511834 | PA      | $2811175.02    | 0.06%             | 2029-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177404 | PA      | $179474.84     | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377LBS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89000 | PA      | $85849.37      | 0.00%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859932 | PA      | $73468.51      | 0.00%             | 2035-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  115667420 | PA      | $4298860.65    | 0.09%             | 2030-11-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124485 | PA      | $2998.34       | 0.00%             | 2028-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380T4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2615691 | PA      | $31134.31      | 0.00%             | 2040-05-20      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                         | GMACM Mortgage Loan Trust 2003-J10                              | CUSIP: 36185NM72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        723 | PA      | $697.13        | 0.00%             | 2019-01-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AUAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81281 | PA      | $1849.17       | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ER2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978532 | PA      | $956094.18     | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AYMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4431800 | PA      | $3872443.93    | 0.08%             | 2057-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53269611 | PA      | $3215087.37    | 0.06%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | EFMT 2023-1                                                     | CUSIP: 26844QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6624109 | PA      | $6615272.78    | 0.13%             | 2068-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128MJDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1155 | PA      | $1207.33       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393LCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63939 | PA      | $6704.75       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2020-VIV4                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2632088.14    | 0.05%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11677832 | PA      | $10033638.86   | 0.20%             | 2051-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2021-1       | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19131011 | PA      | $17475822.98   | 0.35%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust 2019-OBP                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2012873.85    | 0.04%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-RPL3 LLC                                              | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1907937.80    | 0.04%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F6RT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16232023 | PA      | $15328401.02   | 0.31%             | 2050-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132GSKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39313 | PA      | $38037.64      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -50 | NC      | $-4687.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B3CM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5388000 | PA      | $4886316.32    | 0.10%             | 2043-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36292MS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63116 | PA      | $63432.12      | 0.00%             | 2036-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Island Finance Trust 2025-1                            | Island Finance Trust 2025-1                                     | CUSIP: 463920AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3050710.80    | 0.06%             | 2035-03-19      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36291FVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4611 | PA      | $4691.80       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3WL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6087499 | PA      | $5795915.00    | 0.12%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138APE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745385 | PA      | $797054.59     | 0.02%             | 2041-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74531 | PA      | $696.82        | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132MQFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     707672 | PA      | $695883.22     | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380ASK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5616920 | PA      | $839765.53     | 0.02%             | 2046-09-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                         | Ellington Financial Mortgage Trust 2019-2                       | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2422000 | PA      | $2262515.18    | 0.05%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2016-DC2 Mortgage Trust                                    | CUSIP: 12594CBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3077883 | PA      | $3061796.57    | 0.06%             | 2049-02-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | Freddie Mac Stacr Remic Trust 2025-Hqa1                         | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |    4437500 | PA      | $4417025.82    | 0.09%             | 2045-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376F4G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169320 | PA      | $170357.07     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16108448 | PA      | $14906730.25   | 0.30%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374DKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173600 | PA      | $173477.38     | 0.00%             | 2037-12-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2025-1                             | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5005874.50    | 0.10%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82019000 | PA      | $5819379.28    | 0.12%             | 2030-06-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56620 | PA      | $56808.69      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust 2018-4                                  | CUSIP: 33851LAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3460126 | PA      | $3219238.92    | 0.07%             | 2048-07-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ATD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277575 | PA      | $51582.92      | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FAMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38027 | PA      | $4009.17       | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380BC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6279834 | PA      | $5710480.69    | 0.12%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16969101 | PA      | $15514201.34   | 0.31%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128P7UF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10465 | PA      | $10339.50      | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373AM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     777116 | PA      | $782057.08     | 0.02%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AJV86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25189 | PA      | $715.29        | 0.00%             | 2029-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379AVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     662865 | PA      | $12814.30      | 0.00%             | 2028-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341612 | PA      | $368448.16     | 0.01%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FN FS4157 4.0 05/01/49                                          | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22588997 | PA      | $21293792.17   | 0.43%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377TAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313554 | PA      | $314235.44     | 0.01%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1493390 | PA      | $1372603.87    | 0.03%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5386049 | PA      | $5254626.46    | 0.11%             | 2049-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     269485 | PA      | $279003.60     | 0.01%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AHZ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6150928 | PA      | $794830.92     | 0.02%             | 2041-11-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27125 | PA      | $26585.28      | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ACLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6811191 | PA      | $6036864.54    | 0.12%             | 2043-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373SV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1766199 | PA      | $1761790.10    | 0.04%             | 2033-04-16      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379EKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     779836 | PA      | $87875.47      | 0.00%             | 2044-05-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B3WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1626638 | PA      | $1502240.11    | 0.03%             | 2049-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BQXX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771702 | PA      | $697480.55     | 0.01%             | 2036-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Trust Long Duration Opportunities ETF            | First Trust Long Duration Opportunities ETF                     | CUSIP: 33738D606<br>LEI: 54930081NDDOB374EM36 | Long             | EC               | RF                | US        |      73956 | NS      | $1596710.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Home Loans                                 | CHL Mortgage Pass-Through Trust 2004-8                          | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29528 | PA      | $4041.45       | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31935 | PA      | $678.12        | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DNJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9076494 | PA      | $8464270.62    | 0.17%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417FUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390422 | PA      | $359766.69     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FN FP0122 4.5 07/01/51                                          | CUSIP: 3140XTD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14376756 | PA      | $13940004.66   | 0.28%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132HNBD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38291 | PA      | $35925.36      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19400000 | PA      | $17779743.04   | 0.36%             | 2053-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FLCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236551 | PA      | $33977.19      | 0.00%             | 2042-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FH4X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3589427 | PA      | $3254744.73    | 0.07%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392FLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82417 | PA      | $79100.29      | 0.00%             | 2032-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BAHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15120104 | PA      | $14564759.62   | 0.29%             | 2050-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97000 | PA      | $97901.40      | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ADCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54714 | PA      | $37529.90      | 0.00%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137F4W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2268398 | PA      | $280446.12     | 0.01%             | 2048-04-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BAB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4906851 | PA      | $4708033.74    | 0.10%             | 2050-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| First Trust Intermediate Government Opportunities ETF  | First Trust Intermediate Government Opportunities ETF           | CUSIP: 33738D838<br>LEI: 5493000G9GN9OLNUML64 | Long             | EC               | RF                | US        |      35147 | NS      | $712039.56     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137936 | PA      | $141061.77     | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2718805 | PA      | $305275.02     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378GM88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1079229 | PA      | $1127479.85    | 0.02%             | 2042-12-20      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK26                                                 | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8226024 | PA      | $360411.72     | 0.01%             | 2063-03-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H4A92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8158 | PA      | $7376.90       | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374CYN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111192 | PA      | $112136.72     | 0.00%             | 2033-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140H74S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31266 | PA      | $31200.79      | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2025-2 LLC                                                 | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5995000 | PA      | $6023964.24    | 0.12%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36294SLD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208197 | PA      | $214279.31     | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179969 | PA      | $183774.23     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                          | TIAA Bank Mortgage Loan Trust 2018-3                            | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     722502 | PA      | $686143.70     | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394UET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67464 | PA      | $69642.73      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2024-V6 Mortgage Trust                                | CUSIP: 081927AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75138019 | PA      | $3418561.98    | 0.07%             | 2057-03-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B0PK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905000 | PA      | $804111.96     | 0.02%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76656617 | PA      | $3200045.83    | 0.06%             | 2030-09-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CAX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     464000 | PA      | $445904.23     | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377FVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1104581 | PA      | $1179709.50    | 0.02%             | 2040-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KRU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265821 | PA      | $263492.95     | 0.01%             | 2036-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15783323 | PA      | $13963051.20   | 0.28%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                          | New Residential Mortgage Loan Trust 2016-1                      | CUSIP: 64829FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2809741 | PA      | $2713772.63    | 0.05%             | 2056-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ALYJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1878000 | PA      | $1746888.74    | 0.04%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396QLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $4434919.28    | 0.09%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15000000 | PA      | $15252832.05   | 0.31%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380NLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2019190 | PA      | $1094076.03    | 0.02%             | 2061-05-16      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26512410 | PA      | $24450362.24   | 0.49%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137ATJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20761 | PA      | $2438.42       | 0.00%             | 2042-08-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ENRL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387818 | PA      | $384525.51     | 0.01%             | 2043-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1831131.46    | 0.04%             | 2033-08-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                         | Arbor Multifamily Mortgage Securities Trust 2020-MF1            | CUSIP: 03881BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2963000 | PA      | $2700606.50    | 0.05%             | 2053-05-15      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379979 | PA      | $332522.93     | 0.01%             | 2043-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394FHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22793 | PA      | $1988.78       | 0.00%             | 2035-09-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418ALC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18140 | PA      | $18081.00      | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                         | BBCMS 2018-TALL Mortgage Trust                                  | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6602174.60    | 0.13%             | 2037-03-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FIVE 2023-V1                                           | FIVE 2023-V1 Mortgage Trust                                     | CUSIP: 337964AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30147814 | PA      | $508846.87     | 0.01%             | 2056-02-10      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7415712 | PA      | $7161266.10    | 0.14%             | 2050-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B2Y53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14870850 | PA      | $11740612.06   | 0.24%             | 2043-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41000000 | PA      | $41333125.00   | 0.83%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3133SSSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6103573 | PA      | $5692517.98    | 0.11%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380CYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1074268 | PA      | $968027.08     | 0.02%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F64T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46072531 | PA      | $1426940.00    | 0.03%             | 2027-09-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77345 | PA      | $69588.64      | 0.00%             | 2037-12-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138YDAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55667 | PA      | $54804.26      | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41565013 | PA      | $2703729.28    | 0.05%             | 2031-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38373YD92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100699 | PA      | $100423.61     | 0.00%             | 2033-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157903 | PA      | $152623.12     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28417240 | PA      | $842144.89     | 0.02%             | 2034-01-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35410560 | PA      | $1849511.25    | 0.04%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12643646 | PA      | $10916484.42   | 0.22%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-INV1                              | CUSIP: 46591DAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5193221 | PA      | $5063284.42    | 0.10%             | 2049-10-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F64R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  125811600 | PA      | $2536424.76    | 0.05%             | 2027-09-25      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140MM5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3761701 | PA      | $3669619.69    | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-8                                 | CUSIP: 46591KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     506666 | PA      | $458894.79     | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KJP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7070 | PA      | $7242.54       | 0.00%             | 2032-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -900 | NC      | $-168750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1544 | PA      | $1567.67       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383LHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11106000 | PA      | $10544816.04   | 0.21%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 313920B41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $944.44        | 0.00%             | 2031-09-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FJD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2198577 | PA      | $2064382.98    | 0.04%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163288 | PA      | $17940.01      | 0.00%             | 2040-10-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EKGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50135 | PA      | $46979.38      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FLCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212301 | PA      | $30466.61      | 0.00%             | 2041-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H8H87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3853962.40    | 0.08%             | 2031-02-25      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140HBD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     846857 | PA      | $830934.22     | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378TPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109189 | PA      | $9187.24       | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417YDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35207 | PA      | $35352.34      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B47H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3633715 | PA      | $3539330.79    | 0.07%             | 2049-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2021-1R                                   | CUSIP: 042853AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1726445 | PA      | $1562672.16    | 0.03%             | 2048-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BSR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5473357 | PA      | $5427292.67    | 0.11%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374K2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79448 | PA      | $79612.59      | 0.00%             | 2035-04-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132G7GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39319 | PA      | $38535.12      | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JBPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20034227 | PA      | $19335671.97   | 0.39%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FURQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13488658 | PA      | $13007686.28   | 0.26%             | 2050-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F8ZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5700000 | PA      | $4971796.50    | 0.10%             | 2030-12-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394UCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1885621 | PA      | $1915780.25    | 0.04%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-2                                | CUSIP: 89173HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1236935 | PA      | $1229235.29    | 0.02%             | 2057-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                 | Sequoia Mortgage Trust 2017-CH1                                 | CUSIP: 81746HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199149 | PA      | $190017.52     | 0.00%             | 2047-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36296DEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11105 | PA      | $11522.66      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140JCQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27524256 | PA      | $25126651.36   | 0.51%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2025-4 Mortgage Loan Trust                                 | CUSIP: 12674HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5053316.35    | 0.10%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16947797 | PA      | $16887539.77   | 0.34%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4207626 | PA      | $3718182.24    | 0.08%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                         | FARM 2024-1 Mortgage Trust                                      | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4533962 | PA      | $4302518.09    | 0.09%             | 2053-10-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2021-1R                                   | CUSIP: 042853AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2383530 | PA      | $2155380.33    | 0.04%             | 2048-10-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3131XQ6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13143291 | PA      | $12258785.80   | 0.25%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AUDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2308176 | PA      | $2266888.48    | 0.05%             | 2046-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138M4KK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165708 | PA      | $155279.90     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 3837427Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97634 | PA      | $98291.15      | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                              | Fannie Mae or Freddie Mac                                       | CUSIP: 01F042657<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -20375000 | PA      | $-19488375.36  | -0.39%            | 2055-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                         | Pagaya AI Debt Grantor Trust 2024-11                            | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7937051 | PA      | $7932844.22    | 0.16%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1210969 | PA      | $1183503.36    | 0.02%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379YV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4474712 | PA      | $571993.42     | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31296UZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57869 | PA      | $58104.17      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397KDY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41671 | PA      | $43824.49      | 0.00%             | 2037-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35529637 | PA      | $2749773.62    | 0.06%             | 2030-04-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B46X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3499718 | PA      | $3398166.04    | 0.07%             | 2049-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                  | Tennessee Valley Authority                                      | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   10225000 | PA      | $9992261.62    | 0.20%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31392JM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14494 | PA      | $14275.14      | 0.00%             | 2033-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65372 | PA      | $8678.47       | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XJCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6950364 | PA      | $6699474.64    | 0.14%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14380622 | PA      | $12942283.48   | 0.26%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                            | PRKCM 2025-HOME1                                                | CUSIP: 69382FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     997953 | PA      | $1003512.69    | 0.02%             | 2060-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58256 | PA      | $57595.86      | 0.00%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394VL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11028852 | PA      | $0.00          | 0.00%             | 2035-02-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2019-2       | CUSIP: 35564CDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $10239016.70   | 0.21%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375L4C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     392182 | PA      | $391639.24     | 0.01%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560863 | PA      | $523840.96     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374UCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     479427 | PA      | $497842.50     | 0.01%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76455 | PA      | $78072.65      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Trust 2021-PJ6                    | CUSIP: 36262LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3005275 | PA      | $2676647.61    | 0.05%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31359KW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2467 | PA      | $51.21         | 0.00%             | 2026-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                            | GSAMP Trust 2006-SEA1                                           | CUSIP: 36244LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1493127 | PA      | $1723458.48    | 0.03%             | 2036-05-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A2PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1952323 | PA      | $105971.52     | 0.00%             | 2041-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                         | CSAIL 2019-C18 Commercial Mortgage Trust                        | CUSIP: 12597DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3441917 | PA      | $3328210.68    | 0.07%             | 2052-12-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393VKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297248 | PA      | $301090.66     | 0.01%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ASF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12983662 | PA      | $1716296.03    | 0.03%             | 2046-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396PSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313274 | PA      | $317546.37     | 0.01%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5512180 | PA      | $5101916.38    | 0.10%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383YWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10614923 | PA      | $8427343.39    | 0.17%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                            | PRKCM 2025-HOME1                                                | CUSIP: 69382FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2494882 | PA      | $2506767.86    | 0.05%             | 2060-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1415108 | PA      | $1325957.48    | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QT54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25429 | PA      | $25153.99      | 0.00%             | 2034-04-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19057281 | PA      | $18311550.67   | 0.37%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCEY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36283 | PA      | $4713.74       | 0.00%             | 2033-12-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H73N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4827835 | PA      | $4441668.01    | 0.09%             | 2031-12-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31398KP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     859135 | PA      | $901975.74     | 0.02%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2021-P011            | CUSIP: 3137H2NR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3938890 | PA      | $431476.29     | 0.01%             | 2045-09-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371NLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29701 | PA      | $30670.22      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379R6F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2810676 | PA      | $1737283.05    | 0.04%             | 2057-09-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-RPL2 LLC                                              | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4667614 | PA      | $4493818.66    | 0.09%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377UAJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     771202 | PA      | $766394.33     | 0.02%             | 2041-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38376CKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     455000 | PA      | $451599.56     | 0.01%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B1GZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1099866 | PA      | $30698.36      | 0.00%             | 2028-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                         | Chase Home Lending Mortgage Trust 2019-ATR2                     | CUSIP: 16159GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1745703 | PA      | $1662554.67    | 0.03%             | 2049-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132DQPZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30958850 | PA      | $28006136.86   | 0.57%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85295 | PA      | $2953.54       | 0.00%             | 2037-05-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9697633 | PA      | $9026317.43    | 0.18%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382P4V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5559205 | PA      | $679549.94     | 0.01%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2022-BNK43                                                 | CUSIP: 06541QAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2811015 | PA      | $2795873.30    | 0.06%             | 2055-08-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31418BYF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1650 | PA      | $1441.10       | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379QDE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5591362 | PA      | $5189618.84    | 0.10%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68018000 | PA      | $240525.25     | 0.00%             | 2026-02-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36213FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16246 | PA      | $16572.35      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Trust Structured Credit Income Opportunities ETF | First Trust Structured Credit Income Opportunities ETF          | CUSIP: 33738D770<br>LEI: 2549004N8C03JQQ2OB54 | Long             | EC               | RF                | US        |      14956 | NS      | $305645.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31335AAV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6738 | PA      | $6562.80       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AEQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357372 | PA      | $30133.21      | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trus                         | CoreVest American Finance 2021-3 Trust                          | CUSIP: 21873NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     751013 | PA      | $730242.79     | 0.01%             | 2054-10-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371MRA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38685 | PA      | $39213.14      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69937 | PA      | $63934.49      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241LXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96069 | PA      | $96494.49      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hawaii Hotel Trust                                     | Hawaii Hotel Trust 2025-MAUI                                    | CUSIP: 419909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4445000 | PA      | $4410773.94    | 0.09%             | 2042-03-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B9AH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3519527 | PA      | $3496730.32    | 0.07%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H53U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8815818 | PA      | $5690458.01    | 0.11%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91969 | PA      | $9980.96       | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94250 | PA      | $981.10        | 0.00%             | 2026-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374GV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     365264 | PA      | $374267.13     | 0.01%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                         | FARM 2024-2 Mortgage Trust                                      | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6139762 | PA      | $6089523.33    | 0.12%             | 2054-08-01      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397QQC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1507000 | PA      | $1569343.08    | 0.03%             | 2041-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136ASPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8774460 | PA      | $7073898.58    | 0.14%             | 2046-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620C5BG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     451100 | PA      | $425159.66     | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147273 | PA      | $151111.48     | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2019-1                                 | CUSIP: 46650HAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1165536 | PA      | $1093780.18    | 0.02%             | 2049-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 31294MFY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1565 | PA      | $1557.29       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36178YGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1700344 | PA      | $1620094.62    | 0.03%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | CoreVest American Finance 2020-3 Trust                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4707521 | PA      | $4615309.45    | 0.09%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.            | 5 YEAR U.S. TREASURY NOTE                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -680 | NC      | $-170000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58530863 | PA      | $2992050.89    | 0.06%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379FDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28088112 | PA      | $21704827.44   | 0.44%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38645000 | PA      | $901193.67     | 0.02%             | 2027-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR09            | CUSIP: 3137FTG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47500000 | PA      | $3367232.25    | 0.07%             | 2029-02-27      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38382FT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7097422 | PA      | $1515329.42    | 0.03%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379RMR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3390736 | PA      | $2009141.09    | 0.04%             | 2059-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125487 | PA      | $15763.13      | 0.00%             | 2034-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377XLV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29305 | PA      | $20.33         | 0.00%             | 2026-08-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                        | United States Treasury Note/Bond                                | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34000000 | PA      | $34566445.44   | 0.70%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397HM70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136306 | PA      | $120523.31     | 0.00%             | 2037-05-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416BNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9637 | PA      | $10189.73      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BACY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6053280 | PA      | $5820952.53    | 0.12%             | 2050-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | Corevest American Finance 2021-1 Trust                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6027442 | PA      | $5866008.87    | 0.12%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                              | CUSIP: 31282YWM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97672 | PA      | $11535.82      | 0.00%             | 2036-08-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M92Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245930 | PA      | $237209.85     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617JKVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260465 | PA      | $257729.69     | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128K8ZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112852 | PA      | $115981.41     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31398FDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1984343 | PA      | $1986270.47    | 0.04%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380GAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3518790 | PA      | $397546.92     | 0.01%             | 2047-08-16      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRT64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11648364 | PA      | $10430421.83   | 0.21%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394AWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246631 | PA      | $245584.13     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31394VL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24428 | PA      | $24598.37      | 0.00%             | 2035-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2025-V14 Mortgage Trust                               | CUSIP: 08164BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2082410.80    | 0.04%             | 2057-04-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                         | JPMCC Commercial Mortgage Securities Trust 2017-JP5             | CUSIP: 46647TAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1462209 | PA      | $1439135.16    | 0.03%             | 2050-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                       | Hilton USA Trust 2016-HHV                                       | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $4175572.73    | 0.08%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AHVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19114102 | PA      | $17418398.66   | 0.35%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221627 | PA      | $226312.35     | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                          | Corevest American Finance 2020-4 Trust                          | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3711738 | PA      | $3658911.97    | 0.07%             | 2052-12-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136A1ZF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227525 | PA      | $1908.41       | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FPKK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9995246 | PA      | $9679169.56    | 0.20%             | 2049-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                     | Seasoned Loans Structured Transaction Trust Series 2021-1       | CUSIP: 35564CJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4135471 | PA      | $3837086.17    | 0.08%             | 2031-05-26      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132A2XV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890000 | PA      | $938705.30     | 0.02%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4   | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24644100 | PA      | $23717681.13   | 0.48%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3617AVJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154445 | PA      | $144872.98     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31395KL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208345 | PA      | $205230.02     | 0.00%             | 2034-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                           | METLIFE SECURITIZATION TRUST 2018-1                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3863487 | PA      | $3746975.45    | 0.08%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FJY78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7659514.40    | 0.15%             | 2033-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B9JR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11969763 | PA      | $3690391.65    | 0.07%             | 2050-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380VVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     974088 | PA      | $713705.29     | 0.01%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383RAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34877501 | PA      | $27922421.53   | 0.56%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                | CUSIP: 3132E0NW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9146203 | PA      | $8686325.78    | 0.18%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FUAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4141424 | PA      | $4032350.48    | 0.08%             | 2050-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29273633 | PA      | $2171752.29    | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B4CS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9170602 | PA      | $8208152.04    | 0.17%             | 2056-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38377VQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4171988 | PA      | $116437.26     | 0.00%             | 2038-02-20      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2020-RR09            | CUSIP: 3137FTG68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37600000 | PA      | $2854520.56    | 0.06%             | 2028-11-27      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137H9M71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2261940 | PA      | $2227652.67    | 0.04%             | 2032-01-25      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                           | CUSIP: 3128M9PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230028 | PA      | $222372.27     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380AAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1124981 | PA      | $1025887.37    | 0.02%             | 2036-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29582039 | PA      | $27714087.34   | 0.56%             | 2045-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140X4NB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254245 | PA      | $1211950.34    | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38379XQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338354 | PA      | $61322.07      | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H9DF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7871994 | PA      | $5871161.41    | 0.12%             | 2048-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137FRV99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  150334000 | PA      | $13555120.68   | 0.27%             | 2033-05-27      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138MBZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97116 | PA      | $93838.52      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137B32M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17848991 | PA      | $16900968.58   | 0.34%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14019174 | PA      | $12135441.46   | 0.25%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 31396WK70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446727 | PA      | $469523.18     | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31412NZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6149 | PA      | $6219.88       | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                | Fannie Mae Grantor Trust 2005-T1                                | CUSIP: 31394C7D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1564463 | PA      | $1498591.21    | 0.03%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103469 | PA      | $104554.15     | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31371MJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $782.31        | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3622AAEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3051409 | PA      | $2946846.49    | 0.06%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FCEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23717 | PA      | $2626.88       | 0.00%             | 2033-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138ERNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10866943 | PA      | $10447315.22   | 0.21%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31416XYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781197 | PA      | $787776.38     | 0.02%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  157437489 | PA      | $8825583.51    | 0.18%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31419AEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113347 | PA      | $112305.47     | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38378HPP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     251623 | PA      | $195447.21     | 0.00%             | 2042-09-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380MC82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19494756 | PA      | $12462506.10   | 0.25%             | 2061-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AVQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6149656 | PA      | $670841.34     | 0.01%             | 2047-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2024-277P Mortgage Trust                                   | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41260000 | PA      | $1171231.12    | 0.02%             | 2044-08-10      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 31417YKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15185 | PA      | $15389.60      | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 36241KB72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5589 | PA      | $5820.43       | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                       | CUSIP: 3136FAJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42338 | PA      | $6116.65       | 0.00%             | 2032-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137AT7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2447000 | PA      | $2095361.21    | 0.04%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797PT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $99367000.00   | 2.01%             | 2025-06-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust 2019-INV1                                             | CUSIP: 12555DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873164 | PA      | $837545.59     | 0.02%             | 2049-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                          | United States Treasury Bill                                     | CUSIP: 912797NP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $99589236.00   | 2.01%             | 2025-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128852 | PA      | $6182.54       | 0.00%             | 2037-07-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                      | PRPM 2024-8 LLC                                                 | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469822 | PA      | $466897.21     | 0.01%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                          | GS Mortgage-Backed Securities Corp Trust 2019-PJ3               | CUSIP: 36257QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286049 | PA      | $269570.69     | 0.01%             | 2050-03-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-3                                    | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1685240 | PA      | $1608265.89    | 0.03%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EJLY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45969 | PA      | $47928.11      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38375GHS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6711842 | PA      | $4163530.77    | 0.08%             | 2042-07-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136BRX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10659399 | PA      | $9549335.26    | 0.19%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3140XCDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5419372 | PA      | $5149137.93    | 0.10%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38383P4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16953958 | PA      | $13168240.74   | 0.27%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2024-R01                    | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2317872 | PA      | $2311242.35    | 0.05%             | 2044-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397JSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29460 | PA      | $29027.64      | 0.00%             | 2037-07-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36198TAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497393 | PA      | $481320.85     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 3620C1FT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206258 | PA      | $203804.92     | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                 | CUSIP: 3138EGGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43762 | PA      | $44961.61      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38380HCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2350555 | PA      | $245971.03     | 0.00%             | 2041-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137H7UG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9174762 | PA      | $8162258.25    | 0.16%             | 2052-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620ABW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72026 | PA      | $70557.57      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                         | Freddie Mac Multiclass Certificates Series 2015-P001            | CUSIP: 3137H4CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55000000 | PA      | $6362807.00    | 0.13%             | 2033-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B9HC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4261969 | PA      | $4118650.86    | 0.08%             | 2050-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AAST6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157019 | PA      | $157821.26     | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137BP7A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  268770533 | PA      | $1650923.00    | 0.03%             | 2026-03-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24042 | PA      | $25565.72      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae I Pool                                               | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114387 | PA      | $111992.30     | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                              | CUSIP: 3137HAXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6432820 | PA      | $5203944.57    | 0.11%             | 2053-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136B7LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14587991 | PA      | $12639264.80   | 0.26%             | 2042-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                               | CUSIP: 3136AUKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176621 | PA      | $172902.64     | 0.00%             | 2046-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Government National Mortgage Association                        | CUSIP: 38374KPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274669 | PA      | $271503.80     | 0.01%             | 2035-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10466125 | PA      | $9048437.31    | 0.18%             | 2035-06-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55537412 | PA      | $3892400.61    | 0.08%             | 2030-07-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                         | Ginnie Mae II Pool                                              | CUSIP: 36176LGK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     716848 | PA      | $719084.70     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                         | Freddie Mac Multifamily Structured Pass Through Certificates    | CUSIP: 3137F9CT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4725000 | PA      | $4122097.56    | 0.08%             | 2030-12-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-23

**Name of Applicant:** First Trust Exchange-Traded Fund IV

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

**Title:** Treasurer, Chief Financial Officer and Chief Accounting Officer