# EDGAR Filing Document

**Accession Number:** 0000832327
**File Stem:** 0001752724-25-204396
**Filing Date:** 2025-8
**Character Count:** 152215
**Document Hash:** 2420d4835c55c21f6ce27c720d27ffaa
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-204396.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-204396

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK INCOME TRUST, INC.
- **CENTRAL INDEX KEY:** 0000832327

**ORGANIZATION NAME:**
- **EIN:** 133463349
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05542
- **FILM NUMBER:** 251254540

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **STREET 2:** MUTUAL FUND DEPARTMENT
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 888-825-2257

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **STREET 2:** MUTUAL FUND DEPARTMENT
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK INCOME TRUST INC.
- **DATE OF NAME CHANGE:** 20121009

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK INCOME TRUST INC
- **DATE OF NAME CHANGE:** 19930309

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKSTONE INCOME TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Income Trust, Inc.

- **b. Investment Company Act file number:** 811-05542

- **c. CIK number of Registrant:** 0000832327

- **d. LEI of Registrant:** TZVEKBHO1R4X5PI73286

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Income Trust, Inc.

- **c. LEI of Series:** TZVEKBHO1R4X5PI73286

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $391617405.20

**Total Liabilities:** $102628549.00

**Net Assets:** $288988856.20

**Delayed Delivery Securities:** $645000.00

**Cash Not Reported:** $145959.50

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5991.28000000 | **1-Year:** 273.49000000 | **5-Year:** 53396.42000000 | **10-Year:** 90917.29000000 | **30-Year:** 53370.48000000

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

- **3-Month:** 0.04000000 | **1-Year:** 0.01000000 | **5-Year:** 0.00000000 | **10-Year:** 37.93000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.00%                | -1.08%               | 1.61%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-355644.35              | $2190702.75                                |
| Month 2  | $-2097372.80             | $-2386114.14                               |
| Month 3  | $-616016.39              | $4417428.95                                |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3831291 | PA      | $165933.20    | 0.06%             | 2030-10-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KYXJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18922 | PA      | $17818.96     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $342809.60    | 0.12%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bay View Federal Savings And Loan Assoc.         | BAY 2025-LIVN Mortgage Trust                                                   | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481000 | PA      | $481388.50    | 0.17%             | 2035-05-15      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5763 | PA      | $5711.11      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADDL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784070 | PA      | $781853.05    | 0.27%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                    | SDR Commercial Mortgage Trust 2024-DSNY                                        | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $110863.39    | 0.04%             | 2039-05-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                  | BRAVO Residential Funding Trust 2021-NQM1                                      | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31044 | PA      | $29016.77     | 0.01%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AD3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45413 | PA      | $45829.01     | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140041 | PA      | $139722.78    | 0.05%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137GADX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    176271 | PA      | $1857.16      | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ALGM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2713 | PA      | $2729.40      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9WT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130378 | PA      | $1069343.57   | 0.37%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615058 | PA      | $635401.77    | 0.22%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102454 | PA      | $103799.13    | 0.04%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3664000 | PA      | $3298352.51   | 1.14%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A54P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700109 | PA      | $1642024.52   | 0.57%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc     | BAMLL Trust 2024-BHP                                                           | CUSIP: 05493WAA0<br>LEI: 5493001M1XQ4INMTAE48 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $135673.58    | 0.05%             | 2039-08-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A3QD4<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1908009.60   | 0.66%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137ANZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373963 | PA      | $23461.46     | 0.01%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31413CRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       306 | PA      | $304.83       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A82M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7080 | PA      | $7168.13      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FHLMC 30YR                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -4831393 | PA      | $-4831393.37  | -1.67%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419E6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2817 | PA      | $2852.41      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR 2025-ALDR Mortgage Trust                                                   | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $192392.96    | 0.07%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410F2Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141576 | PA      | $143209.28    | 0.05%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418RMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35171 | PA      | $34342.62     | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274030 | PA      | $283948.03    | 0.10%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418VW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70719 | PA      | $71598.44     | 0.02%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2021-PJ6                                   | CUSIP: 36262LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75214 | PA      | $61263.94     | 0.02%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -2525411 | PA      | $-2525411.11  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-1                                              | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72540 | PA      | $67817.52     | 0.02%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1645012 | PA      | $62306.97     | 0.02%             | 2030-11-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398PPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056148 | PA      | $1068112.80   | 0.37%             | 2030-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                 | IndyMac INDX Mortgage Loan Trust 2006-AR33                                     | CUSIP: 45668JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16334395 | PA      | $1.63         | 0.00%             | 2037-01-25      | Fixed         | 0.17%                 | No            |                  3 | On Loan: No      |
| BlackRock Liquidity Funds                        | BlackRock Liquidity Funds: T-Fund, Institutional Shares                        | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |   2362061 | NS      | $2362061.33   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FHLMC GOLD                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -3186673 | PA      | $-3186672.92  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $900190.10    | 0.31%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AP6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6877397 | PA      | $418160.88    | 0.14%             | 2045-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-5 Mortgage Loan Trust                                                | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82569 | PA      | $82737.68     | 0.03%             | 2067-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-INV3 Trust                                                            | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79107 | PA      | $67213.11     | 0.02%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                    | KSL Commercial Mortgage Trust 2024-HT2                                         | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160000 | PA      | $159691.26    | 0.06%             | 2039-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114631 | PA      | $117879.45    | 0.04%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17339774 | PA      | $3165070.64   | 1.10%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                            | TRK 2021-INV2 Trust                                                            | CUSIP: 87267TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103942 | PA      | $92062.37     | 0.03%             | 2056-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412UQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66521 | PA      | $66410.71     | 0.02%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-BIO                                                              | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144999.96    | 0.05%             | 2041-02-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A4U96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2930413 | PA      | $2796472.20   | 0.97%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8167429 | PA      | $7613299.43   | 2.63%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H2JG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15356017 | PA      | $2620852.87   | 0.91%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5               | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373000 | PA      | $373000.00    | 0.13%             | 2040-03-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653048 | PA      | $654095.29    | 0.23%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust              | STAR 2021-1 Trust                                                              | CUSIP: 85573GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $176371.72    | 0.06%             | 2065-05-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179396 | PA      | $183184.55    | 0.06%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $549977.34    | 0.19%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133BVX34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5111068 | PA      | $5038397.14   | 1.74%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A2AG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1254491 | PA      | $1207756.50   | 0.42%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138WHDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1795317 | PA      | $1701931.04   | 0.59%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AEJQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1541 | PA      | $1560.19      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1450000 | PA      | $1458439.45   | 0.50%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FW3Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15957147 | PA      | $3332090.02   | 1.15%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4989 | PA      | $5051.40      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust           | Residential Asset Securitization Trust 2005-A15                                | CUSIP: 45660L3P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78641 | PA      | $55815.72     | 0.02%             | 2036-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22547 | PA      | $22480.52     | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248627 | PA      | $252008.98    | 0.09%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30770000 | PA      | $26620374.42  | 9.21%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AFW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106290 | PA      | $107612.59    | 0.04%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KPDJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5498076 | PA      | $5145357.00   | 1.78%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1930106 | PA      | $104441.72    | 0.04%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                       | SDAL Trust 2025-DAL                                                            | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476000 | PA      | $476827.19    | 0.16%             | 2042-04-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835861 | PA      | $831051.57    | 0.29%             | 2054-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2024-6                                              | CUSIP: 92540JAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    121733 | PA      | $122449.55    | 0.04%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618J8HP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1573022 | PA      | $1642855.69   | 0.57%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $726935.54    | 0.25%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2582715.00   | 0.89%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1309035 | PA      | $54620.27     | 0.02%             | 2030-01-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QGSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122140 | PA      | $112313.37    | 0.04%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KY4C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451559 | PA      | $452824.47    | 0.16%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825375 | PA      | $850141.95    | 0.29%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KPQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5620684 | PA      | $5385393.59   | 1.86%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) SEP25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -98 | NC      | $-461501.89   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust               | Ellington Financial Mortgage Trust 2022-1                                      | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197270 | PA      | $170965.65    | 0.06%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623824 | PA      | $540089.70    | 0.19%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31405SL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249253 | PA      | $252801.59    | 0.09%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BBCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $3948156.85   | 1.37%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1793706 | PA      | $101535.77    | 0.04%             | 2030-01-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 40YR R                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -7286192 | PA      | $-7286191.93  | -2.52%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CLY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $150773.44    | 0.05%             | 2026-11-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J9H95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780946 | PA      | $776763.05    | 0.27%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57873 | PA      | $58473.01     | 0.02%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31408AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10187 | PA      | $10600.34     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36207DLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       695 | PA      | $696.01       | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR F                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -3762786 | PA      | $-3762786.30  | -1.30%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BNCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746479 | PA      | $635661.57    | 0.22%             | 2051-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38380XYC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6775137 | PA      | $5853583.23   | 2.03%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716602 | PA      | $745792.08    | 0.26%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138A9PP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88527 | PA      | $89592.28     | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383GBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10741176 | PA      | $1616358.99   | 0.56%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416KQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184148 | PA      | $183710.29    | 0.06%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2018-TALL Mortgage Trust                                                 | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $274095.99    | 0.09%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3133TNM68<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    115111 | PA      | $121864.15    | 0.04%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383REX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4651656 | PA      | $3662093.03   | 1.27%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357696 | PA      | $322180.09    | 0.11%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates                               | CUSIP: 3133TDPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15534 | PA      | $15608.36     | 0.01%             | 2028-01-25      | Variable      | 0.13%                 | 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        |    391007 | PA      | $379171.67    | 0.13%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418ESQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321605 | PA      | $289792.51    | 0.10%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356825 | PA      | $374546.06    | 0.13%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516574 | PA      | $533752.59    | 0.18%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378XYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11607416 | PA      | $253191.40    | 0.09%             | 2056-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410KXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510445 | PA      | $537930.53    | 0.19%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                   | ARES Trust 2025-IND3                                                           | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212000 | PA      | $212264.60    | 0.07%             | 2042-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398STJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2366095 | PA      | $2308368.20   | 0.80%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                              | GSAT Trust 2025-BMF                                                            | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $645201.56    | 0.22%             | 2030-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AD3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106394 | PA      | $107237.65    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-7 Mortgage Loan Trust                                                | CUSIP: 12663GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162211 | PA      | $161424.77    | 0.06%             | 2067-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                                         | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $158476.59    | 0.05%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137997 | PA      | $139610.24    | 0.05%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138EJLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828552 | PA      | $824879.93    | 0.29%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RFC PRINCIPAL STRIP                              | Resolution Funding Corp Principal Strip                                        | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  13000000 | PA      | $10719486.57  | 3.71%             | 2030-04-15      | None          | 0.00%                 | 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        |    746069 | PA      | $717620.14    | 0.25%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588325 | PA      | $588402.82    | 0.20%             | 2054-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |   -917000 | PA      | $-698531.91   | -0.24%            | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3133KQW44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5169931 | PA      | $5121287.98   | 1.77%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H8QD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445909 | PA      | $422018.64    | 0.15%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust              | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105890 | PA      | $17893.60     | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J8SJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413730 | PA      | $391907.75    | 0.14%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AAW82<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   5238886 | PA      | $5398209.85   | 1.87%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FAP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11189585 | PA      | $2183908.25   | 0.76%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412RL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158729 | PA      | $153338.63    | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 1999-W4                                                 | CUSIP: 31359VB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14433 | PA      | $510.14       | 0.00%             | 2028-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H8B83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27843106 | PA      | $3295039.54   | 1.14%             | 2052-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADKK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26390 | PA      | $26718.66     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376122 | PA      | $392366.28    | 0.14%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18461780 | PA      | $17209264.62  | 5.95%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412MKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40250 | PA      | $42196.69     | 0.01%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 1999-W4                                                 | CUSIP: 31359VB28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6037 | PA      | $5802.16      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38383PBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20249317 | PA      | $2978348.45   | 1.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $152642.58    | 0.05%             | 2029-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31398SPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4732647 | PA      | $4748129.99   | 1.64%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XAUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99416 | PA      | $94344.51     | 0.03%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ADC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171899 | PA      | $171136.73    | 0.06%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FHLMC 30YR                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -4925145 | PA      | $-4925145.40  | -1.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418V4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40221 | PA      | $40720.79     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705736 | PA      | $716074.61    | 0.25%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123191 | PA      | $124450.06    | 0.04%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378KPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2355131 | PA      | $53011.64     | 0.02%             | 2051-09-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XKP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5036645 | PA      | $4990893.38   | 1.73%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H37J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4151809 | PA      | $3930445.93   | 1.36%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BB TREASURY BON                                  | BB TREASURY BON                                                                | CUSIP: 000000000<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    699212 | PA      | $699212.50    | 0.24%             | 2025-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AAS28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       602 | PA      | $603.36       | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2018-C44                                 | CUSIP: 95001JAY3<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |   4615197 | PA      | $76710.58     | 0.03%             | 2051-05-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    740343 | PA      | $640978.90    | 0.22%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                 | NJ 2025-WBRK                                                                   | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $330540.67    | 0.11%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19110 | PA      | $19052.18     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418MPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826209 | PA      | $1871403.29   | 0.65%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                                         | CUSIP: 3133ENPP9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    400000 | PA      | $377802.29    | 0.13%             | 2030-02-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2700000 | PA      | $-2582715.00  | -0.89%            | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $285527.35    | 0.10%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419AMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34717 | PA      | $35148.35     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                              | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77836 | PA      | $63375.26     | 0.02%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38375GYA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2117922 | PA      | $76240.30     | 0.03%             | 2042-08-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                            | Vendee Mortgage Trust 1999-2                                                   | CUSIP: 911760MW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3131078 | PA      | $3.13         | 0.00%             | 2029-05-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2023-FUN                                     | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $280700.00    | 0.10%             | 2028-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A1LW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23082560 | PA      | $22954325.23  | 7.94%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BCPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179763 | PA      | $164466.12    | 0.06%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2MC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1959785 | PA      | $1916669.93   | 0.66%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                      | CUSIP: 3136FGRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1743245 | PA      | $1370965.74   | 0.47%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3098663 | PA      | $376216.70    | 0.13%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116905 | PA      | $106842.08    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $706316.41    | 0.24%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                      | Homes 2024-Nqm2 Trust                                                          | CUSIP: 43761CAA0<br>LEI: 254900MQRASV1D1NGZ28 | Long             | ABS-MBS          | CORP              | US        |     85790 | PA      | $86181.25     | 0.03%             | 2069-10-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $509296.88    | 0.18%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250451 | PA      | $258273.47    | 0.09%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A2V67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9857218 | PA      | $1054587.32   | 0.36%             | 2041-12-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473622 | PA      | $2381217.02   | 0.82%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    840000 | PA      | $610050.00    | 0.21%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LIFE                                                             | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $336142.46    | 0.12%             | 2047-06-13      | Variable      | 5.88%                 | 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        |   2332138 | PA      | $2246722.90   | 0.78%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2407394 | PA      | $2467065.81   | 0.85%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                            | INTOWN 2025-STAY Mortgage Trust                                                | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $507768.75    | 0.18%             | 2042-03-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067011 | PA      | $1030777.45   | 0.36%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FCZ49<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3351000 | PA      | $2759385.31   | 0.95%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24975 | PA      | $24899.00     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1376165 | PA      | $40641.87     | 0.01%             | 2029-06-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119407 | PA      | $116042.04    | 0.04%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224632 | PA      | $1217693.40   | 0.42%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B8H36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6001273 | PA      | $1429254.78   | 0.49%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31392B5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10364 | PA      | $9881.33      | 0.00%             | 2032-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38378DHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4328992 | PA      | $4235302.70   | 1.47%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AJ4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7246543 | PA      | $695512.28    | 0.24%             | 2041-11-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331736 | PA      | $339959.00    | 0.12%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $714574.22    | 0.25%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                          | Flagstar Mortgage Trust 2021-4                                                 | CUSIP: 33852FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156670 | PA      | $127857.67    | 0.04%             | 2051-06-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1324716 | PA      | $1196996.15   | 0.41%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                  | CSAIL 2018-C14 Commercial Mortgage Trust                                       | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1890965 | PA      | $27281.52     | 0.01%             | 2051-11-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0JN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16284828 | PA      | $2202718.46   | 0.76%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127346 | PA      | $129133.62    | 0.04%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                   | ILPT Commercial Mortgage Trust 2025-LPF2                                       | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553000 | PA      | $561111.51    | 0.19%             | 2042-07-15      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ROIC                                                             | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90014 | PA      | $89451.41     | 0.03%             | 2030-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138ETS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381652 | PA      | $361719.34    | 0.13%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3070591 | PA      | $2971819.66   | 1.03%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2022-INV2                                    | CUSIP: 58549JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81489 | PA      | $69109.82     | 0.02%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38377VGR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1762329 | PA      | $127342.04    | 0.04%             | 2041-04-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137B75D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $954546.30    | 0.33%             | 2044-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2018-AUS                                 | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    583000 | PA      | $571053.69    | 0.20%             | 2036-08-17      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1204021 | PA      | $72195.17     | 0.02%             | 2030-01-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A03W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2937786 | PA      | $2266065.86   | 0.78%             | 2041-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15309857 | PA      | $2762094.24   | 0.96%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50681 | PA      | $51315.43     | 0.02%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 40YR R                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        | -16646456 | PA      | $-16646455.80 | -5.76%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34152 | PA      | $35133.77     | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13405 | PA      | $13364.17     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418SZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233253 | PA      | $230882.69    | 0.08%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                  | Fannie Mae Interest Strip                                                      | CUSIP: 3136FAT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1285075 | PA      | $1115420.83   | 0.39%             | 2033-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903539 | PA      | $931760.98    | 0.32%             | 2055-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36208DU29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       231 | PA      | $231.58       | 0.00%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR                                                                  | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -3261655 | PA      | $-3261655.43  | -1.13%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                     | RRP GNMA2 30YR                                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Short            | RA               | CORP              | US        |  -2380176 | PA      | $-2380176.32  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31393YBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1348429 | PA      | $1454008.55   | 0.50%             | 2034-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-3                                              | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277941 | PA      | $265771.94    | 0.09%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                  | WHARF Commercial Mortgage Trust 2025-DC                                        | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $235493.34    | 0.08%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-EWEST                                                          | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $345215.63    | 0.12%             | 2042-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3521142 | PA      | $3065149.09   | 1.06%             | 2048-05-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                     | Hudson Yards 2025-SPRL Mortgage Trust                                          | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $474191.69    | 0.16%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 0.17314  SOFR 21-OCT-2025                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    136615 | OU      | $-2855.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)SEP25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       174 | NC      | $405451.23    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31394ED96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19969 | PA      | $20634.33     | 0.01%             | 2035-08-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Sterling Bank Trust                              | Sterling COOFS Trust 2004-2                                                    | CUSIP: 859245AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    152340 | PA      | $0.02         | 0.00%             | 2030-03-30      | Fixed         | 2.08%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16966762 | PA      | $3488771.83   | 1.21%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                     | RRP FNMA 30YR                                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Short            | RA               | CORP              | US        |  -1797174 | PA      | $-1797173.65  | -0.62%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665337 | PA      | $664486.14    | 0.23%             | 2054-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BQMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547347 | PA      | $549096.55    | 0.19%             | 2053-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402DC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316557 | PA      | $320861.99    | 0.11%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                        | PRM Trust 2025-PRM6                                                            | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    394000 | PA      | $390836.50    | 0.14%             | 2033-07-05      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HFXQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265014 | PA      | $264731.65    | 0.09%             | 2054-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                       | NCMF Trust 2025-MFS                                                            | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493000 | PA      | $492042.64    | 0.17%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410KXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547200 | PA      | $563420.57    | 0.19%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416XJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991154 | PA      | $957908.38    | 0.33%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AP5N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224960 | PA      | $227758.78    | 0.08%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369428 | PA      | $23073.48     | 0.01%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140H1XR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230431 | PA      | $230256.59    | 0.08%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-2 Mortgage Loan Trust                                                | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98454 | PA      | $93498.02     | 0.03%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                         | Federal Farm Credit Banks Funding Corp                                         | CUSIP: 3133EMNM0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    500000 | PA      | $372858.06    | 0.13%             | 2036-01-25      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38377WSG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6313073 | PA      | $6123848.21   | 2.12%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $168023.35    | 0.06%             | 2039-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36292GKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1304 | PA      | $1319.28      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A8DZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1639065 | PA      | $1473175.23   | 0.51%             | 2042-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335ARP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   3216862 | PA      | $3313325.72   | 1.15%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMP32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16830 | PA      | $16777.88     | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                            | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1525000 | PA      | $1073218.75   | 0.37%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-WCL1 MORTGAGE TRUST                                                  | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $809746.55    | 0.28%             | 2041-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 31394PCV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    966475 | PA      | $965793.83    | 0.33%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36205KZ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       805 | PA      | $807.46       | 0.00%             | 2027-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-VLT4                                                             | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $104967.19    | 0.04%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 31395DPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667110 | PA      | $163739.21    | 0.06%             | 2036-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1130043 | PA      | $1174688.20   | 0.41%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3260447 | PA      | $3051086.34   | 1.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455733 | PA      | $428075.68    | 0.15%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137F4VK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4369630 | PA      | $4241907.51   | 1.47%             | 2048-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                     | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Short            | RA               | CORP              | US        |  -2276587 | PA      | $-2276587.49  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31406UT99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7727 | PA      | $7842.01      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418EXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54650 | PA      | $50864.29     | 0.02%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418NX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3356009 | PA      | $3398409.61   | 1.18%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527286 | PA      | $457050.91    | 0.16%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HHB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760160 | PA      | $758969.52    | 0.26%             | 2054-11-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                       | MIRA Trust 2023-MILE                                                           | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    569000 | PA      | $592165.18    | 0.20%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417Y2B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125679 | PA      | $127242.75    | 0.04%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608347 | PA      | $627817.10    | 0.22%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FPH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503843 | PA      | $334492.90    | 0.12%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-LUNR                                                             | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $575717.72    | 0.20%             | 2040-06-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AN5V3<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |  14023418 | PA      | $13737762.82  | 4.75%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BDKG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2794645 | PA      | $2738390.38   | 0.95%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FHLMC 30YR                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -5151562 | PA      | $-5151562.04  | -1.78%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851640 | PA      | $806278.22    | 0.28%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147723 | PA      | $128030.74    | 0.04%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STERLING COOFS TR                                | STERLING COOFS TR                                                              | CUSIP: 859245AA0<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    435686 | PA      | $0.04         | 0.00%             | 2029-04-15      | Variable      | 2.36%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BERC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382764 | PA      | $344887.54    | 0.12%             | 2054-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31417Y6Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5969 | PA      | $6040.37      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418AAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45841 | PA      | $46411.61     | 0.02%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38376PA59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373783 | PA      | $35486.47     | 0.01%             | 2039-12-16      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                    | BLP Commercial Mortgage Trust 2023-IND                                         | CUSIP: 055531AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500468.75    | 0.17%             | 2040-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418TDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10014 | PA      | $10138.48     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                           | Sequoia Mortgage Trust 2024-INV1                                               | CUSIP: 816939AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175155 | PA      | $174188.23    | 0.06%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128P8H20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125864 | PA      | $123876.47    | 0.04%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1345 Trust                                       | 1345T 2025-AOA                                                                 | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450702.27    | 0.16%             | 2030-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2022-2                                                     | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78406 | PA      | $66494.99     | 0.02%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2020-NQM1 Trust                                                            | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35093 | PA      | $33895.64     | 0.01%             | 2065-03-25      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FFQC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8101629 | PA      | $617925.00    | 0.21%             | 2032-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-GPA3                                         | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215674 | PA      | $215876.42    | 0.07%             | 2039-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A6FA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147335 | PA      | $20593.48     | 0.01%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    790892 | PA      | $803525.95    | 0.28%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 31395MHU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    836427 | PA      | $862689.70    | 0.30%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138XYQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435016 | PA      | $406858.96    | 0.14%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                 | Provident Funding Mortgage Trust 2024-1                                        | CUSIP: 74389BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137057 | PA      | $136210.96    | 0.05%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-INV3                                           | CUSIP: 46593FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77893 | PA      | $66207.57     | 0.02%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AFMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12871395 | PA      | $1305558.48   | 0.45%             | 2041-09-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    852268 | PA      | $877841.41    | 0.30%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31410RFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       603 | PA      | $618.52       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31412RH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29514 | PA      | $29880.97     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $456082.03    | 0.16%             | 2029-03-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $852357.42    | 0.29%             | 2026-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3138AMQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105181 | PA      | $106488.96    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1579135 | PA      | $86939.43     | 0.03%             | 2030-06-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923577 | PA      | $56204.86     | 0.02%             | 2030-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                                        | CUSIP: 3130AKRV0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    300000 | PA      | $246439.70    | 0.09%             | 2033-01-27      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335BUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665981 | PA      | $624006.49    | 0.22%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137B5KE2<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |   8884000 | PA      | $8270054.30   | 2.86%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-DSC1                                           | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91415 | PA      | $89309.31     | 0.03%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140GSRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801443 | PA      | $801206.09    | 0.28%             | 2047-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BSSL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491708 | PA      | $492221.85    | 0.17%             | 2054-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140J9V73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241073 | PA      | $238715.27    | 0.08%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BHEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22281402 | PA      | $4158678.93   | 1.44%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042673<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -28000 | PA      | $-26779.80    | -0.01%            | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                       | CUSIP: 38379MCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9327026 | PA      | $8769642.10   | 3.03%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140HMPV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9216 | PA      | $9188.17      | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                               | CUSIP: 3132DTZH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50648 | PA      | $47523.91     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2134770 | PA      | $2122638.70   | 0.73%             | 2054-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) SEP25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       104 | NC      | $149449.66    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BRYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6431124 | PA      | $6372382.84   | 2.21%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83880 | PA      | $84858.27     | 0.03%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H8LQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6295076 | PA      | $5721549.88   | 1.98%             | 2052-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-ATH1                                                                 | CUSIP: 12660BAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89089 | PA      | $85997.41     | 0.03%             | 2067-01-25      | Variable      | 2.87%                 | 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        |    303855 | PA      | $290401.45    | 0.10%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HDXH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    670490 | PA      | $671900.26    | 0.23%             | 2054-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562958 | PA      | $570620.61    | 0.20%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                              | CUSIP: 36207RFG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       760 | PA      | $762.68       | 0.00%             | 2026-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) SEP25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -57 | NC      | $-47839.87    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PMT Loan Trust                                   | PMT Loan Trust 2024-INV1                                                       | CUSIP: 73015BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141484 | PA      | $140518.84    | 0.05%             | 2059-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    642000 | PA      | $629095.90    | 0.22%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                | CRSO TR 2023 BRND                                                              | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176923 | PA      | $185617.24    | 0.06%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-ATR1                                    | CUSIP: 16158RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27357 | PA      | $27582.71     | 0.01%             | 2049-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-TAIL                                                             | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362000 | PA      | $362564.50    | 0.13%             | 2035-06-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427895 | PA      | $439667.51    | 0.15%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AHVU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    405611 | PA      | $406899.59    | 0.14%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 31418TWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10635 | PA      | $10701.72     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A14G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14350496 | PA      | $13837917.81  | 4.79%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT SEP25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -122 | NC      | $-352458.24   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    120000 | PA      | $118748.44    | 0.04%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 0.18350 FED 21-OCT-2025                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    136615 | OU      | $2843.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2023-SMRT                                  | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $351160.30    | 0.12%             | 2040-10-12      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-7                                              | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107526 | PA      | $108237.53    | 0.04%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140QQJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61170 | PA      | $61729.19     | 0.02%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FHLMC 30YR                                                                 | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -4907522 | PA      | $-4907521.88  | -1.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AD3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144668 | PA      | $94896.66     | 0.03%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                | CUSIP: 3140XQWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73619 | PA      | $74623.16     | 0.03%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust | CUSIP: 93934FFP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43815 | PA      | $24704.06     | 0.01%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                             | CUSIP: 3618NJC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1174427 | PA      | $1203536.93   | 0.42%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AYQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433336 | PA      | $343725.50    | 0.12%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                            | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2784375.00   | 0.96%             | 2029-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069000 | PA      | $1000424.72   | 0.35%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA, INC.                        | RRP FNMA 30YR U                                                                | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Short            | RA               | CORP              | US        |  -4781004 | PA      | $-4781004.13  | -1.65%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-31

**Name of Applicant:** BlackRock Income Trust, Inc.

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer