# EDGAR Filing Document

**Accession Number:** 0001478482
**File Stem:** 0001145549-25-042590
**Filing Date:** 2025-6
**Character Count:** 154079
**Document Hash:** 00885c2cca1f9b502bc0643d070a624c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-25-042590.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001145549-25-042590

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20250430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** John Hancock Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001478482

**ORGANIZATION NAME:**
- **EIN:** 001017025
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22733
- **FILM NUMBER:** 251078667

**BUSINESS ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116
- **BUSINESS PHONE:** 617-663-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

## Series and Classes Contracts Data

### John Hancock Mortgage-Backed Securities ETF (Series ID: S000072179)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000227987 | John Hancock Mortgage-Backed Securities ETF | JHMB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** John Hancock Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22733

- **c. CIK number of Registrant:** 0001478482

- **d. LEI of Registrant:** 5493009IOCA1ISM4Y592

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

  - **Street Address 1:** 200 Berkeley Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02116

  - **Telephone number:** 617-543-9634

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

- **a. Name of Series:** John Hancock Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000072179

- **c. LEI of Series:** 549300DHVXX83H8NVG29

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

- **a. Date of fiscal year-end:** 2025-04-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $142607081.56

**Total Liabilities:** $9498487.69

**Net Assets:** $133108593.87

**Delayed Delivery Securities:** $9384080.04

**Cash Not Reported:** $77224.95

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -331.628812000000 | **1-Year:** -6813.987485000000 | **5-Year:** -21807.492895000000 | **10-Year:** -37207.988997000000 | **30-Year:** -10400.832657000000

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

- **3-Month:** -7.947580000000 | **1-Year:** -179.767891000000 | **5-Year:** -534.886840000000 | **10-Year:** -101.364974000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000227987 | 2.45%                | -0.19%               | 0.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $45617.36                | $1481386.44                                |
| Month 2  | $21177.33                | $-507810.20                                |
| Month 3  | $-159744.38              | $174397.26                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| COLT 2025-1 MORTGAGE LOAN TRUS COLT 2025 1 A3 144A     | COLT 2025-1 MORTGAGE LOAN TRUS COLT 2025 1 A3 144A      | CUSIP: 196920AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292417 | PA      | $293851.83    | 0.22%             | 2070-01-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| COMPASS DATACENTERS ISSUER III CMDC 2025 2A A2 144A    | COMPASS DATACENTERS ISSUER III CMDC 2025 2A A2 144A     | CUSIP: 20469BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    276000 | PA      | $279738.42    | 0.21%             | 2050-02-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC TUNES 2024 1A A 144A       | CONCORD MUSIC ROYALTIES LLC TUNES 2024 1A A 144A        | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $197037.56    | 0.15%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2022 R02 2B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2022 R02 2B1 144A     | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $311625.00    | 0.23%             | 2042-01-25      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A     | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $417708.28    | 0.31%             | 2043-07-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2023 R04 1B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2023 R04 1B1 144A     | CUSIP: 20754QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $324544.02    | 0.24%             | 2043-05-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST CROSS 2024 H2 A3 144A             | CROSS MORTGAGE TRUST CROSS 2024 H2 A3 144A              | CUSIP: 22757BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156670 | PA      | $157840.75    | 0.12%             | 2069-04-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H7 MORTGAGE TRUST CROSS 2024 H7 B1A 144A    | CROSS 2024-H7 MORTGAGE TRUST CROSS 2024 H7 B1A 144A     | CUSIP: 22757CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201114.76    | 0.15%             | 2069-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H5 MORTGAGE TRUST CROSS 2024 H5 A3 144A     | CROSS 2024-H5 MORTGAGE TRUST CROSS 2024 H5 A3 144A      | CUSIP: 22757HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87889 | PA      | $88467.90     | 0.07%             | 2069-08-26      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H1 MORTGAGE TRUST CROSS 2025 H1 B1A 144A    | CROSS 2025-H1 MORTGAGE TRUST CROSS 2025 H1 B1A 144A     | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300375.45    | 0.23%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 3A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 3A A2 144A    | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $381940.04    | 0.29%             | 2049-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2021 1A A23 144A             | CUSIP: 233046AS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193500 | PA      | $167530.96    | 0.13%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2023-2 LLC DEXT 2023 2 D 144A                 | DEXT ABS 2023-2 LLC DEXT 2023 2 D 144A                  | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $535997.20    | 0.40%             | 2034-05-15      | Fixed         | 8.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471941 | PA      | $397462.74    | 0.30%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XCBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254833 | PA      | $205489.10    | 0.15%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED VAR                      | CUSIP: 3140XCJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481925 | PA      | $389211.51    | 0.29%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253921 | PA      | $213690.11    | 0.16%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2                      | FREDDIE MAC POOL FR 01/52 FIXED 2                       | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    460872 | PA      | $366447.38    | 0.28%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3133B2YC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    765268 | PA      | $643782.23    | 0.48%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 4                      | FREDDIE MAC POOL FR 05/52 FIXED 4                       | CUSIP: 3133BBF87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478885 | PA      | $451415.73    | 0.34%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 2                      | FREDDIE MAC POOL FR 03/52 FIXED 2                       | CUSIP: 3133KNW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1545907 | PA      | $1244637.25   | 0.94%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2021 1A B 144A                | CUSIP: 12565KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165893 | PA      | $151282.87    | 0.11%             | 2046-02-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2022 1A B 144A                | CUSIP: 12565KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102405 | PA      | $91846.96     | 0.07%             | 2047-01-18      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| EXTENET ISSUER LLC EXTNT 2024 1A B 144A                | EXTENET ISSUER LLC EXTNT 2024 1A B 144A                 | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201988.62    | 0.15%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FIP MASTER FUNDING LLC FI 2024 1A A2 144A              | FIP MASTER FUNDING LLC FI 2024 1A A2 144A               | CUSIP: 30332YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199769 | PA      | $197048.20    | 0.15%             | 2054-10-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables XIV LLC             | AMUR EQUIPMENT FINANCE RECEIVA AXIS 2024 2A D 144A      | CUSIP: 03238BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $266459.99    | 0.20%             | 2031-10-20      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 5 A1 144A      | CUSIP: 03464HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359127 | PA      | $354476.84    | 0.27%             | 2067-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A     | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $188114.14    | 0.14%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2021 1A A2II 144A  | CUSIP: 25755TAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    291750 | PA      | $261719.47    | 0.20%             | 2051-04-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994747 | PA      | $907041.73    | 0.68%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    554664 | PA      | $504893.44    | 0.38%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 3 A1 144A      | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235650 | PA      | $224775.46    | 0.17%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 6 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 6 A1 144A      | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591859 | PA      | $583315.55    | 0.44%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2024 1A A2 144A          | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630238 | PA      | $645187.36    | 0.48%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A      | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265423 | PA      | $266812.42    | 0.20%             | 2067-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1 EFMT 2025 CES1 A2 144A                  | EFMT 2025-CES1 EFMT 2025 CES1 A2 144A                   | CUSIP: 26846VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $304388.64    | 0.23%             | 2060-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2021-A LLC                  | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A D 144A      | CUSIP: 28416LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60328 | PA      | $56314.05     | 0.04%             | 2035-08-27      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ENFIN RESIDENTIAL SOLAR RECEIV ENFIN 2024 1A A 144A    | ENFIN RESIDENTIAL SOLAR RECEIV ENFIN 2024 1A A 144A     | CUSIP: 29281LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546598 | PA      | $540266.50    | 0.41%             | 2055-02-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FS COMMERCIAL MORTGAGE TRUST 2 FS 2023 4SZN B 144A     | FS COMMERCIAL MORTGAGE TRUST 2 FS 2023 4SZN B 144A      | CUSIP: 30334RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $388645.65    | 0.29%             | 2039-11-10      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/47 FIXED 3.5                    | FREDDIE MAC POOL FR 09/47 FIXED 3.5                     | CUSIP: 3132A5HL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286345 | PA      | $262619.87    | 0.20%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216297 | PA      | $182433.18    | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/51 FIXED 2.5                    | FREDDIE MAC POOL FR 10/51 FIXED 2.5                     | CUSIP: 3132DMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278707 | PA      | $234549.81    | 0.18%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4.5                    | FREDDIE MAC POOL FR 09/52 FIXED 4.5                     | CUSIP: 3132DN2R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1048756 | PA      | $1006775.87   | 0.76%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/52 FIXED 4.5                    | FREDDIE MAC POOL FR 10/52 FIXED 4.5                     | CUSIP: 3132DN4Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112432 | PA      | $108240.44    | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4                      | FREDDIE MAC POOL FR 07/52 FIXED 4                       | CUSIP: 3132DNET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763657 | PA      | $717944.28    | 0.54%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 3                      | FREDDIE MAC POOL FR 01/52 FIXED 3                       | CUSIP: 3132DNFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244480 | PA      | $212995.68    | 0.16%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4                      | FREDDIE MAC POOL FR 07/52 FIXED 4                       | CUSIP: 3132DNHF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1419168 | PA      | $1331333.19   | 1.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/52 FIXED 4.5                    | FREDDIE MAC POOL FR 08/52 FIXED 4.5                     | CUSIP: 3132DNVK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246366 | PA      | $237720.94    | 0.18%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4.5                    | FREDDIE MAC POOL FR 09/52 FIXED 4.5                     | CUSIP: 3132DNXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297653 | PA      | $288998.88    | 0.22%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/52 FIXED 3.5                    | FREDDIE MAC POOL FR 08/52 FIXED 3.5                     | CUSIP: 3132DNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574750 | PA      | $526051.20    | 0.40%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/52 FIXED 4                      | FREDDIE MAC POOL FR 10/52 FIXED 4                       | CUSIP: 3132DNZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166095 | PA      | $1093376.41   | 0.82%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308873 | PA      | $297575.46    | 0.22%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4                      | FREDDIE MAC POOL FR 09/52 FIXED 4                       | CUSIP: 3132DPAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123484 | PA      | $116091.90    | 0.09%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5                      | FREDDIE MAC POOL FR 07/53 FIXED 5                       | CUSIP: 3132DQ3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184801 | PA      | $181949.67    | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/51 FIXED 2                      | FREDDIE MAC POOL FR 03/51 FIXED 2                       | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328695 | PA      | $262994.91    | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 2.5                    | FREDDIE MAC POOL FR 04/52 FIXED 2.5                     | CUSIP: 3132DQJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110236 | PA      | $92770.58     | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 2                      | FREDDIE MAC POOL FR 02/52 FIXED 2                       | CUSIP: 3132DQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402049 | PA      | $322565.90    | 0.24%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5.5                    | FREDDIE MAC POOL FR 07/53 FIXED 5.5                     | CUSIP: 3132DQUC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361268 | PA      | $363110.29    | 0.27%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5                      | FREDDIE MAC POOL FR 07/53 FIXED 5                       | CUSIP: 3132DQW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133365 | PA      | $131807.00    | 0.10%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/53 FIXED 5                      | FREDDIE MAC POOL FR 06/53 FIXED 5                       | CUSIP: 3132DQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278717 | PA      | $273893.96    | 0.21%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5                      | FREDDIE MAC POOL FR 03/54 FIXED 5                       | CUSIP: 3132DS3T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410641 | PA      | $405229.34    | 0.30%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/53 FIXED 4.5                    | FREDDIE MAC POOL FR 08/53 FIXED 4.5                     | CUSIP: 3132DT2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294745 | PA      | $283665.21    | 0.21%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 3.5                    | FREDDIE MAC POOL FR 09/52 FIXED 3.5                     | CUSIP: 3132DTLY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355300 | PA      | $322863.03    | 0.24%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARZ TRUST 2024 BILT 06/29 6.361                        | ARZ TRUST 2024 BILT 06/29 6.361                         | CUSIP: 00218TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202037.14    | 0.15%             | 2029-06-11      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| AandD MORTGAGE TRUST 2024-NQM4 ADMT 2024 NQM4 M1 144A  | AandD MORTGAGE TRUST 2024-NQM4 ADMT 2024 NQM4 M1 144A   | CUSIP: 002939AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $197722.02    | 0.15%             | 2069-08-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                        | AGATE BAY MORTGAGE TRUST 2013- ABMT 2013 1 A1 144A      | CUSIP: 008414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151579 | PA      | $140790.43    | 0.11%             | 2043-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 4                      | FREDDIE MAC POOL FR 05/52 FIXED 4                       | CUSIP: 3133KPGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200356 | PA      | $187047.67    | 0.14%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 05/53 FIXED 3                    | GINNIE MAE II POOL G2 05/53 FIXED 3                     | CUSIP: 36179X2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222886 | PA      | $198782.39    | 0.15%             | 2053-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $122982.81    | 0.09%             | N/A             | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    745000 | PA      | $619193.94    | 0.47%             | N/A             | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    645000 | PA      | $559436.75    | 0.42%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    545000 | PA      | $491713.50    | 0.37%             | N/A             | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $209592.77    | 0.16%             | N/A             | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $124327.74    | 0.09%             | N/A             | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    925000 | PA      | $905524.40    | 0.68%             | N/A             | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1097464.83   | 0.82%             | N/A             | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50708.99     | 0.04%             | N/A             | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/49 FIXED VAR                      | CUSIP: 3140XBM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91693 | PA      | $86920.28     | 0.07%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324878 | PA      | $261159.39    | 0.20%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243965 | PA      | $205998.08    | 0.15%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/52 FIXED 4                      | FREDDIE MAC POOL FR 11/52 FIXED 4                       | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1220088 | PA      | $1144002.52   | 0.86%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3132DU4X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    706003 | PA      | $697967.22    | 0.52%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/50 FIXED VAR                      | CUSIP: 3140XCSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200725 | PA      | $177603.94    | 0.13%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221325 | PA      | $186259.28    | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/54 FIXED 5                      | FREDDIE MAC POOL FR 10/54 FIXED 5                       | CUSIP: 3132DUJC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166950 | PA      | $1145844.72   | 0.86%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5.5                    | FREDDIE MAC POOL FR 12/54 FIXED 5.5                     | CUSIP: 3132DUY43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028881 | PA      | $1030365.97   | 0.77%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XD6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590758 | PA      | $497898.88    | 0.37%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED VAR                      | CUSIP: 3140XDFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250538 | PA      | $217490.01    | 0.16%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/55 FIXED 5.5                    | FREDDIE MAC POOL FR 01/55 FIXED 5.5                     | CUSIP: 3132DVGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    897034 | PA      | $902169.40    | 0.68%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/50 FIXED 2.5                    | FREDDIE MAC POOL FR 08/50 FIXED 2.5                     | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138651 | PA      | $117290.32    | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/51 FIXED VAR                      | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211644 | PA      | $186305.71    | 0.14%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414407 | PA      | $348749.80    | 0.26%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XF4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646890 | PA      | $519610.00    | 0.39%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFNV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160128 | PA      | $140357.38    | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/51 FIXED 2.5                    | FREDDIE MAC POOL FR 10/51 FIXED 2.5                     | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    775331 | PA      | $645705.96    | 0.49%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/51 FIXED 2                      | FREDDIE MAC POOL FR 01/51 FIXED 2                       | CUSIP: 3133AFD57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    618468 | PA      | $495620.54    | 0.37%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1269507 | PA      | $1072336.97   | 0.81%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220747 | PA      | $185772.68    | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224381 | PA      | $187778.75    | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133ASJD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374461 | PA      | $314313.43    | 0.24%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED VAR                      | CUSIP: 3140XFWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246022 | PA      | $215569.26    | 0.16%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XGGK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198722 | PA      | $159684.47    | 0.12%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2                      | FREDDIE MAC POOL FR 11/51 FIXED 2                       | CUSIP: 3133AWH72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778005 | PA      | $624926.99    | 0.47%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133BGCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    786606 | PA      | $757467.20    | 0.57%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XGLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295228 | PA      | $258684.15    | 0.19%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 C 144A    | TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 C 144A     | CUSIP: 895975AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $342487.64    | 0.26%             | 2041-11-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133BGCZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1067699 | PA      | $1030182.72   | 0.77%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/53 FIXED 5.5                    | FREDDIE MAC POOL FR 04/53 FIXED 5.5                     | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187198 | PA      | $187287.14    | 0.14%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 D 144A    | TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 D 144A     | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $341311.78    | 0.26%             | 2041-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Trinity Rail Leasing 2020 LLC                          | TRINITY RAIL LEASING 2020 LLC TRL 2020 2A A2 144A       | CUSIP: 89656YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $598162.75    | 0.45%             | 2050-11-19      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/50 FIXED 3.5                    | FREDDIE MAC POOL FR 01/50 FIXED 3.5                     | CUSIP: 3133KHG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256732 | PA      | $234577.68    | 0.18%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/50 FIXED 3                      | FREDDIE MAC POOL FR 08/50 FIXED 3                       | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348781 | PA      | $303373.68    | 0.23%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A C2II 144A       | VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A C2II 144A        | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $351026.12    | 0.26%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A F 144A          | VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A F 144A           | CUSIP: 91823ABA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $235348.78    | 0.18%             | 2052-02-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/51 FIXED 2                      | FREDDIE MAC POOL FR 02/51 FIXED 2                       | CUSIP: 3133KK5P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630793 | PA      | $506482.57    | 0.38%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/51 FIXED 2                      | FREDDIE MAC POOL FR 01/51 FIXED 2                       | CUSIP: 3133KKY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1394377 | PA      | $1125252.22   | 0.85%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VENTURE XXX CLO LTD VENTR 2017 30A C 144A              | VENTURE XXX CLO LTD VENTR 2017 30A C 144A               | CUSIP: 92331NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $98552.70     | 0.07%             | 2031-01-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 2.5                    | FREDDIE MAC POOL FR 05/51 FIXED 2.5                     | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1309056 | PA      | $1095517.20   | 0.82%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/51 FIXED 3                      | FREDDIE MAC POOL FR 06/51 FIXED 3                       | CUSIP: 3133KMAX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266111 | PA      | $233254.73    | 0.18%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/51 FIXED 2                      | FREDDIE MAC POOL FR 08/51 FIXED 2                       | CUSIP: 3133KMGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253329 | PA      | $203642.71    | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133KMM77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148239 | PA      | $125030.15    | 0.09%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133KMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227353 | PA      | $189342.42    | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2                      | FREDDIE MAC POOL FR 09/51 FIXED 2                       | CUSIP: 3133KMSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214372 | PA      | $172795.54    | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 3                      | FREDDIE MAC POOL FR 09/51 FIXED 3                       | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441103 | PA      | $388018.40    | 0.29%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3133KN4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100560 | PA      | $91159.75     | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3133KN4M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196764 | PA      | $179108.47    | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722535 | PA      | $574500.27    | 0.43%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2.5                    | FREDDIE MAC POOL FR 11/51 FIXED 2.5                     | CUSIP: 3133KNBE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588483 | PA      | $495245.58    | 0.37%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2.5                    | FREDDIE MAC POOL FR 11/51 FIXED 2.5                     | CUSIP: 3133KNBF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178542 | PA      | $150254.74    | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A           | ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A            | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174774 | PA      | $174283.28    | 0.13%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 10 M1 144A    | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 10 M1 144A     | CUSIP: 034933AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $198492.58    | 0.15%             | 2069-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692210 | PA      | $553200.37    | 0.42%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243418 | PA      | $998766.74    | 0.75%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 2                      | FREDDIE MAC POOL FR 02/52 FIXED 2                       | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538013 | PA      | $432155.08    | 0.32%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNVB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199460 | PA      | $181375.39    | 0.14%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/52 FIXED 4.5                    | FREDDIE MAC POOL FR 06/52 FIXED 4.5                     | CUSIP: 3133KPME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1176406 | PA      | $1128232.06   | 0.85%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/53 FIXED 5                      | FREDDIE MAC POOL FR 06/53 FIXED 5                       | CUSIP: 3133KRJB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725445 | PA      | $712483.91    | 0.54%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/53 FIXED 5                      | FREDDIE MAC POOL FR 08/53 FIXED 5                       | CUSIP: 3133KRVH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172175 | PA      | $169099.15    | 0.13%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 3                      | FREDDIE MAC POOL FR 01/52 FIXED 3                       | CUSIP: 3133USHU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250312 | PA      | $219092.99    | 0.16%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2022 22 B                        | FANNIE MAE REMICS FNR 2022 22 B                         | CUSIP: 3136BMH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $236758.72    | 0.18%             | 2054-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS X2FX X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS X2FX X1             | CUSIP: 3137BQZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4139093 | PA      | $374.17       | 0.00%             | 2025-09-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K118 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K118 X1             | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3153344 | PA      | $131573.58    | 0.10%             | 2030-09-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K109 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K109 X1             | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1960313 | PA      | $123527.35    | 0.09%             | 2030-04-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K116 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K116 X1             | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2702937 | PA      | $158670.48    | 0.12%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5150 IS                         | FREDDIE MAC REMICS FHR 5150 IS                          | CUSIP: 3137H2Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741000 | PA      | $141838.92    | 0.11%             | 2051-08-25      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5250 AY                         | FREDDIE MAC REMICS FHR 5250 AY                          | CUSIP: 3137H8N23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449989 | PA      | $270846.69    | 0.20%             | 2055-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/46 FIXED VAR                      | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171432 | PA      | $152756.24    | 0.11%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/46 FIXED 3                        | CUSIP: 3138WJGH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292806 | PA      | $260908.34    | 0.20%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/48 FIXED 4                        | CUSIP: 3140H1V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105795 | PA      | $99925.00     | 0.08%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/51 FIXED 2                        | CUSIP: 3140JSAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117898 | PA      | $94664.03     | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/50 FIXED 3.5                      | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175469 | PA      | $1076972.37   | 0.81%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 2                        | CUSIP: 3140KNKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368624 | PA      | $294942.46    | 0.22%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED 2.5                      | CUSIP: 3140M2FB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809547 | PA      | $682802.56    | 0.51%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED 3                        | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141357 | PA      | $124301.57    | 0.09%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140MHUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131308 | PA      | $995160.99    | 0.75%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/52 FIXED 4                        | CUSIP: 3140MP5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287832 | PA      | $271321.89    | 0.20%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4                        | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486856 | PA      | $456647.87    | 0.34%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4.5                      | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393203 | PA      | $378606.19    | 0.28%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 5                        | CUSIP: 3140N25R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171429 | PA      | $168631.75    | 0.13%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/35 FIXED 5.1                      | CUSIP: 3140NXJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $616311.60    | 0.46%             | 2035-01-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/35 FIXED 5.18                     | CUSIP: 3140NXPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $619485.06    | 0.47%             | 2035-02-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/49 FIXED 3.5                      | CUSIP: 3140QB4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571362 | PA      | $522235.28    | 0.39%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/50 FIXED 3.5                      | CUSIP: 3140QC5P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870802 | PA      | $789942.56    | 0.59%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/49 FIXED 3.5                      | CUSIP: 3140QCKV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236004 | PA      | $215122.40    | 0.16%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/50 FIXED 3.5                      | CUSIP: 3140QCSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925146 | PA      | $842998.71    | 0.63%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 2                        | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560333 | PA      | $450958.98    | 0.34%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 2.5                      | CUSIP: 3140QEW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279934 | PA      | $236894.36    | 0.18%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 3                        | CUSIP: 3140QEZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78019 | PA      | $68446.73     | 0.05%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 2                        | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540985 | PA      | $434542.29    | 0.33%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 3                        | CUSIP: 3140QFF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394514 | PA      | $342659.73    | 0.26%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/51 FIXED 2                        | CUSIP: 3140QGXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327525 | PA      | $262160.72    | 0.20%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/51 FIXED 2.5                      | CUSIP: 3140QKR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616662 | PA      | $517225.70    | 0.39%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150290 | PA      | $1007545.77   | 0.76%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XH3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441076 | PA      | $386341.09    | 0.29%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355861 | PA      | $334559.20    | 0.25%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664958 | PA      | $625984.33    | 0.47%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428436 | PA      | $389322.72    | 0.29%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385464 | PA      | $372690.50    | 0.28%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED VAR                      | CUSIP: 3140XHRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292535 | PA      | $282292.89    | 0.21%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED VAR                      | CUSIP: 3140XHVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152412 | PA      | $138021.80    | 0.10%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED VAR                      | CUSIP: 3140XJM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252152 | PA      | $236506.27    | 0.18%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED VAR                      | CUSIP: 3140XJPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124036 | PA      | $119412.40    | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/52 FIXED VAR                      | CUSIP: 3140XJWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79123 | PA      | $76173.85     | 0.06%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XKES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304531 | PA      | $243660.79    | 0.18%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410147 | PA      | $329704.04    | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED VAR                      | CUSIP: 3140XL3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102002 | PA      | $100689.75    | 0.08%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED VAR                      | CUSIP: 3140XL5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410717 | PA      | $385104.33    | 0.29%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED VAR                      | CUSIP: 3140XLNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580359 | PA      | $464173.94    | 0.35%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/53 FIXED VAR                      | CUSIP: 3140XLXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161900 | PA      | $159220.31    | 0.12%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/53 FIXED VAR                      | CUSIP: 3140XMGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71483 | PA      | $68460.60     | 0.05%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XMKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253956 | PA      | $230929.88    | 0.17%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XMLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1015684 | PA      | $929941.77    | 0.70%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XN5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174155 | PA      | $139344.20    | 0.10%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XN6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407362 | PA      | $357192.87    | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED VAR                      | CUSIP: 3140XPBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202031 | PA      | $183144.78    | 0.14%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 03/53 FIXED 2.5                  | GINNIE MAE II POOL G2 03/53 FIXED 2.5                   | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460952 | PA      | $394085.12    | 0.30%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TR GSMS 2024 RVR A 144A    | GS MORTGAGE SECURITIES CORP TR GSMS 2024 RVR A 144A     | CUSIP: 36272JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $402560.52    | 0.30%             | 2041-08-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/54 FIXED VAR                      | CUSIP: 3140XQC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993540 | PA      | $1000935.90   | 0.75%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 3.5                      | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282706 | PA      | $256653.68    | 0.19%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/53 FIXED 5.5                      | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334019 | PA      | $333686.86    | 0.25%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5.5                    | FREDDIE MAC POOL FR 12/54 FIXED 5.5                     | CUSIP: 31427MGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444946 | PA      | $446589.81    | 0.34%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/55 FIXED 5                      | FREDDIE MAC POOL FR 01/55 FIXED 5                       | CUSIP: 31427MHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1077459 | PA      | $1062163.99   | 0.80%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/55 FIXED 5.5                    | FREDDIE MAC POOL FR 02/55 FIXED 5.5                     | CUSIP: 31427MLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    670781 | PA      | $674516.26    | 0.51%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5.5                    | FREDDIE MAC POOL FR 03/54 FIXED 5.5                     | CUSIP: 3142GRDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86823 | PA      | $86845.24     | 0.07%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5.5                    | FREDDIE MAC POOL FR 03/54 FIXED 5.5                     | CUSIP: 3142GRFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281254 | PA      | $283347.07    | 0.21%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/55 FIXED 5.5                    | FREDDIE MAC POOL FR 02/55 FIXED 5.5                     | CUSIP: 3142GT2E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291807 | PA      | $294252.18    | 0.22%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3142GTFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312848 | PA      | $307527.51    | 0.23%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 3 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 3 A1 144A      | CUSIP: 31573EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263970 | PA      | $262686.64    | 0.20%             | 2067-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-6 FSMT 2021 6INV A4 144A  | FLAGSTAR MORTGAGE TRUST 2021-6 FSMT 2021 6INV A4 144A   | CUSIP: 33851GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182544 | PA      | $148545.27    | 0.11%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-3 FSMT 2021 3INV A18 144A | FLAGSTAR MORTGAGE TRUST 2021-3 FSMT 2021 3INV A18 144A  | CUSIP: 33852CAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328039 | PA      | $321941.21    | 0.24%             | 2051-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STACR REMIC Trust 2022-DNA3                | FREDDIE MAC STACR REMIC TRUST STACR 2022 DNA3 M2 144A   | CUSIP: 35564KVE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    435000 | PA      | $457147.24    | 0.34%             | 2042-04-25      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| COLT 2024-5 MORTGAGE LOAN TRUS COLT 2024 5 M1 144A     | COLT 2024-5 MORTGAGE LOAN TRUS COLT 2024 5 M1 144A      | CUSIP: 19685AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $197072.74    | 0.15%             | 2069-08-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| COLT 2021-4 MORTGAGE LOAN TRUS COLT 2021 4 B1 144A     | COLT 2021-4 MORTGAGE LOAN TRUS COLT 2021 4 B1 144A      | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $148046.02    | 0.11%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 09/49 FIXED 2.5                  | GINNIE MAE II POOL G2 09/49 FIXED 2.5                   | CUSIP: 36179UZR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    644387 | PA      | $552420.13    | 0.42%             | 2049-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 02/51 FIXED 2.5                  | GINNIE MAE II POOL G2 02/51 FIXED 2.5                   | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233306 | PA      | $199060.98    | 0.15%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 06/50 FIXED 2.5                  | GINNIE MAE II POOL G2 06/50 FIXED 2.5                   | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455768 | PA      | $389011.72    | 0.29%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 07/51 FIXED 2.5                  | GINNIE MAE II POOL G2 07/51 FIXED 2.5                   | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523647 | PA      | $446458.11    | 0.34%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST GCAT 2024 NQM2 M1 144A            | GCAT 2024-NQM2 TRUST GCAT 2024 NQM2 M1 144A             | CUSIP: 36831CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201341.18    | 0.15%             | 2059-06-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVA GMREV 2024 2 A 144A     | GM FINANCIAL REVOLVING RECEIVA GMREV 2024 2 A 144A      | CUSIP: 379925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $402168.04    | 0.30%             | 2037-03-11      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 135 IO          | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13385862 | PA      | $279251.83    | 0.21%             | 2056-01-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 159 IO          | CUSIP: 38380JAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3770096 | PA      | $97786.87     | 0.07%             | 2059-06-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 23 IO           | CUSIP: 38380JPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1238196 | PA      | $42816.07     | 0.03%             | 2059-11-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 178 IA          | CUSIP: 38381D5A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36930934 | PA      | $181142.54    | 0.14%             | 2061-10-16      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 141 BC          | CUSIP: 38381HPW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265000 | PA      | $139763.46    | 0.10%             | 2064-06-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 35 IO           | CUSIP: 38381L7W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5707057 | PA      | $344560.72    | 0.26%             | 2066-09-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 161 IO          | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6911866 | PA      | $395957.28    | 0.30%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 193 IO          | CUSIP: 38381LG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2983926 | PA      | $197908.01    | 0.15%             | 2066-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 3 IO            | CUSIP: 38381LU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1596817 | PA      | $114209.97    | 0.09%             | 2067-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 197 IO          | CUSIP: 38384GVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1627509 | PA      | $140590.42    | 0.11%             | 2065-09-16      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A     | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502845.40    | 0.38%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2024 1A B 144A                | CUSIP: 44148JAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254997.30    | 0.19%             | 2054-06-20      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST 20 HGMT 2025 HGLR A 144A   | HOUSTON GALLERIA MALL TRUST 20 HGMT 2025 HGLR A 144A    | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $610427.70    | 0.46%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-I HAWT 2021 INV3 B1 144A  | HUNDRED ACRE WOOD TRUST 2021-I HAWT 2021 INV3 B1 144A   | CUSIP: 44555QBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736298 | PA      | $634262.96    | 0.48%             | 2051-12-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL C 144A     | HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL C 144A      | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $513639.00    | 0.39%             | 2040-01-13      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| IRV TRUST 2025-200P IRV 2025 200P B 144A               | IRV TRUST 2025-200P IRV 2025 200P B 144A                | CUSIP: 45006HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $296045.13    | 0.22%             | 2047-03-14      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM5 A3 144A | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM5 A3 144A  | CUSIP: 45276QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72323 | PA      | $72445.23     | 0.05%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV3                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV3 A15 144A | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123121 | PA      | $110909.22    | 0.08%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV3                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV3 B3 144A  | CUSIP: 46591LBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206456 | PA      | $190489.61    | 0.14%             | 2050-05-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| JGWPT XXX LLC HENDR 2013 3A A 144A                     | JGWPT XXX LLC HENDR 2013 3A A 144A                      | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648470 | PA      | $613153.82    | 0.46%             | 2073-01-17      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV2                   | JP MORGAN MORTGAGE TRUST 02/50 1                        | CUSIP: 46651DBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352954 | PA      | $335027.13    | 0.25%             | 2050-02-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 6 A12 144A   | JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 6 A12 144A    | CUSIP: 46653PBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326884 | PA      | $318719.82    | 0.24%             | 2051-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2021 14 A12 144A  | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2021 14 A12 144A   | CUSIP: 46653QBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    319203 | PA      | $312409.26    | 0.23%             | 2052-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2022 DSC1 A1 144A | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2022 DSC1 A1 144A  | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194604 | PA      | $190313.66    | 0.14%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2023 4 2A6 144A   | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2023 4 2A6 144A    | CUSIP: 46656QBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392309 | PA      | $386792.51    | 0.29%             | 2053-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                              | JERSEY MIKE'S FUNDING LLC JMIKE 2024 1A A2 144A         | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $348309.33    | 0.26%             | 2055-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST MFRA 2020 NQM3 M1 144A             | MFA 2020-NQM3 TRUST MFRA 2020 NQM3 M1 144A              | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91434.10     | 0.07%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM1 TRUST MFRA 2023 NQM1 A2 144A             | MFA 2023-NQM1 TRUST MFRA 2023 NQM1 A2 144A              | CUSIP: 55285PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109957 | PA      | $109427.95    | 0.08%             | 2067-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| MVW 2024-1 LLC MVWOT 2023 2A C                         | MVW 2024-1 LLC MVWOT 2023 2A C                          | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62028 | PA      | $64068.72     | 0.05%             | 2040-11-20      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2022 1A B 144A      | CUSIP: 59170JAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $255726.85    | 0.19%             | 2052-10-20      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2024 1A B 144A      | CUSIP: 59170JAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $362080.60    | 0.27%             | 2054-04-20      | Fixed         | 7.59%                 | No            |                  2 | On Loan: No      |
| NY COMMERCIAL MORTGAGE TRUST 2 NY 2025 299P A 144A     | NY COMMERCIAL MORTGAGE TRUST 2 NY 2025 299P A 144A      | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $618349.68    | 0.46%             | 2047-02-10      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A           | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241875 | PA      | $221502.57    | 0.17%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2023-1 NBLY 2023 1A A2 144A          | NEIGHBORLY ISSUER 2023-1 NBLY 2023 1A A2 144A           | CUSIP: 64016NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293250 | PA      | $298205.84    | 0.22%             | 2053-01-30      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | NEW ECONOMY ASSETS - PHASE 1 S USRE 2021 1 B1 144A      | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $227147.90    | 0.17%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A A1B 144A    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A A1B 144A     | CUSIP: 64830WAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53642 | PA      | $50181.47     | 0.04%             | 2058-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                   | OBX 2024-NQM12 TRUST OBX 2024 NQM12 A2 144A             | CUSIP: 67448PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219775 | PA      | $220744.23    | 0.17%             | 2064-07-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                    | OBX 2020-EXP2 TRUST OBX 2020 EXP2 A8 144A               | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68361 | PA      | $59920.97     | 0.05%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 Trust                                   | OBX 2023-NQM10 TRUST OBX 2023 NQM10 A3 144A             | CUSIP: 67449CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308013 | PA      | $311706.75    | 0.23%             | 2063-10-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2023-SFR2 PROG 2023 SFR2 D 144A   | PROGRESS RESIDENTIAL 2023-SFR2 PROG 2023 SFR2 D 144A    | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $488336.20    | 0.37%             | 2040-10-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR4 PROG 2021 SFR4 E1 144A  | PROGRESS RESIDENTIAL 2021-SFR4 PROG 2021 SFR4 E1 144A   | CUSIP: 74333EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $146199.72    | 0.11%             | 2038-05-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 E2 144A  | PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 E2 144A   | CUSIP: 74333FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $217240.79    | 0.16%             | 2038-07-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR3 PROG 2021 SFR3 E2 144A  | PROGRESS RESIDENTIAL 2021-SFR3 PROG 2021 SFR3 E2 144A   | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $147239.43    | 0.11%             | 2026-05-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 D 144A   | PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 D 144A    | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $447041.25    | 0.34%             | 2042-04-17      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A              | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $417246.00    | 0.31%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| RATE MORTGAGE TRUST 2024-J3 RATE 2024 J3 B3 144A       | RATE MORTGAGE TRUST 2024-J3 RATE 2024 J3 B3 144A        | CUSIP: 75409UCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446235 | PA      | $420741.33    | 0.32%             | 2054-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE TRUST 2 RCMT 2019 5 E 144A      | READY CAPITAL MORTGAGE TRUST 2 RCMT 2019 5 E 144A       | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $216837.90    | 0.16%             | 2052-02-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2019 3 B2 144A     | RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2019 3 B2 144A      | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $244115.40    | 0.18%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust 2020-2                 | RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2020 2 B2 144A      | CUSIP: 76123MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241442.68    | 0.18%             | 2060-05-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC               | RETAINED VANTAGE DATA CENTERS VDCR 2024 1A B 144A       | CUSIP: 76134KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $196784.52    | 0.15%             | 2049-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE RIDE 2025 SHRE E 144A                   | RIDE 2025-SHRE RIDE 2025 SHRE E 144A                    | CUSIP: 765692AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $248419.48    | 0.19%             | 2047-02-14      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | SEB FUNDING LLC SEB4P 2024 1A A2 144A                   | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $256178.38    | 0.19%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-3 SEMT 2025 3 A20 144A     | SEQUOIA MORTGAGE TRUST 2025-3 SEMT 2025 3 A20 144A      | CUSIP: 817370AV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    586226 | PA      | $576626.18    | 0.43%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-1 SEMT 2025 1 A1 144A      | SEQUOIA MORTGAGE TRUST 2025-1 SEMT 2025 1 A1 144A       | CUSIP: 81743EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284298 | PA      | $285419.91    | 0.21%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-1 SEMT 2024 1 B2 144A      | SEQUOIA MORTGAGE TRUST 2024-1 SEMT 2024 1 B2 144A       | CUSIP: 81749GCE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293759 | PA      | $290721.69    | 0.22%             | 2054-01-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-4 SEMT 2025 4 A19 144A     | SEQUOIA MORTGAGE TRUST 2025-4 SEMT 2025 4 A19 144A      | CUSIP: 81749MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $400562.48    | 0.30%             | 2055-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 B1 144A   | COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 B1 144A    | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $73987.45     | 0.06%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/51 FIXED 3                        | CUSIP: 3140QKY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582172 | PA      | $511019.48    | 0.38%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2024 1A A2 144A          | CUSIP: 817743AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197500 | PA      | $202708.11    | 0.15%             | 2054-01-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2025-1 Receivables Funding LLC        | SIERRA TIMESHARE 2025-1 RECEIV SRFC 2025 1A D 144A      | CUSIP: 82653CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468814 | PA      | $458196.06    | 0.34%             | 2042-01-21      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| SBA SMALL BUSINESS INVESTMENT SBIC 2025 10A 1          | SBA SMALL BUSINESS INVESTMENT SBIC 2025 10A 1           | CUSIP: 831641FZ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $507130.55    | 0.38%             | 2035-03-10      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 3A A2II 144A            | SUBWAY FUNDING LLC SUBWAY 2024 3A A2II 144A             | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144275 | PA      | $143015.86    | 0.11%             | 2054-07-30      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC SWTCH 2025 1A B 144A             | SWITCH ABS ISSUER LLC SWTCH 2025 1A B 144A              | CUSIP: 871044AN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $405160.48    | 0.30%             | 2055-03-25      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | TACO BELL FUNDING LLC BELL 2021 1A A23 144A             | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682838 | PA      | $586398.38    | 0.44%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables V LLC                        | 321 HENDERSON RECEIVABLES V LL HENDR 2008 3A A1 144A    | CUSIP: 88576VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549570 | PA      | $614267.14    | 0.46%             | 2045-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust 2024-RRTL2                       | TOORAK MORTGAGE TRUST 2024-RRT 09/39 VAR                | CUSIP: 89055JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298730.61    | 0.22%             | 2039-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 B1B 144A    | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 B1B 144A     | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $244774.34    | 0.18%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A     | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553854 | PA      | $549628.41    | 0.41%             | 2064-10-27      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2022 INV2 M1 144A | VERUS SECURITIZATION TRUST 202 VERUS 2022 INV2 M1 144A  | CUSIP: 924923AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249393.83    | 0.19%             | 2067-10-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-7                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 7 M1 144A     | CUSIP: 924925AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $196761.96    | 0.15%             | 2069-09-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A2 144A     | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61566 | PA      | $54402.76     | 0.04%             | 2066-01-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 202 VERUS 2020 5 A1 144A    | VERUS SECURITIZATION TRUST 202 VERUS 2020 5 A1 144A     | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57062 | PA      | $55151.98     | 0.04%             | 2065-05-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2022-4                      | VERUS SECURITIZATION TRUST 202 VERUS 2022 4 A1 144A     | CUSIP: 92538NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67881 | PA      | $68144.31     | 0.05%             | 2067-04-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| JH COLLATERAL                                          | JH COLLATERAL                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    437658 | NS      | $4377980.71   | 3.29%             |  |  |  | No            |                  1 | On Loan: No      |
| VISIO 2019-2 TRUST VISIO 2019 2 A1 144A                | VISIO 2019-2 TRUST VISIO 2019 2 A1 144A                 | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18565 | PA      | $18153.86     | 0.01%             | 2054-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2024 C63 A5        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2024 C63 A5         | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $711839.10    | 0.53%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust V                       | WILLIS ENGINE STRUCTURED TRUST WESTF 2020 A C 144A      | CUSIP: 97064FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190370 | PA      | $185070.49    | 0.14%             | 2045-03-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2024 1A A2 144A              | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141969.24    | 0.11%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| US 10YR NOTE CBT 0625                                  | US 10YR NOTE CBT 0625                                   | CUSIP: ADI2RGJN4<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |        16 | NC      | $39439.11     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| US 5YR NOTE CBT 0625                                   | US 5YR NOTE CBT 0625                                    | CUSIP: ADI2RHWY3<br>LEI: N/A                  | N/A              | DIR              | CORP              | US        |         6 | NC      | $14617.38     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-1 ARRW 2019 1 A3 144A       | ARROYO MORTGAGE TRUST 2019-1 ARRW 2019 1 A3 144A        | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118554 | PA      | $116191.48    | 0.09%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A               | BAHA TRUST 2024-MAR BAHA 2024 MAR A 144A                | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $671019.44    | 0.50%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C30 BBCMS 2024 C30 A5        | BBCMS MORTGAGE TRUST 2024-C30 BBCMS 2024 C30 A5         | CUSIP: 05493YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $310018.56    | 0.23%             | 2057-11-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C27 BBCMS 2024 5C27 B       | BBCMS MORTGAGE TRUST 2024-5C27 BBCMS 2024 5C27 B        | CUSIP: 05555FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $207980.44    | 0.16%             | 2057-07-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 B       | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 B        | CUSIP: 05555PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $297721.73    | 0.22%             | 2057-09-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11 BX 2019 OC11 D 144A                 | BX TRUST 2019-OC11 BX 2019 OC11 D 144A                  | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $370936.64    | 0.28%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2.5                      | CUSIP: 3140QLCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890651 | PA      | $748425.34    | 0.56%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2                        | CUSIP: 3140QLD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528129 | PA      | $422565.71    | 0.32%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2.5                      | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288178 | PA      | $240538.77    | 0.18%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2                        | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735948 | PA      | $588845.56    | 0.44%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2023-PJ2           | GS MORTGAGE-BACKED SECURITIES GSMBS 2023 PJ2 A3 144A    | CUSIP: 362938AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250185 | PA      | $241252.32    | 0.18%             | 2053-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-Inv1                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV1 B5 144A  | CUSIP: 46591DBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    351937 | PA      | $307962.97    | 0.23%             | 2049-10-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK47 BANK 2024 BNK47 A5                     | BANK 2024-BNK47 BANK 2024 BNK47 A5                      | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    441000 | PA      | $462094.09    | 0.35%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-C32 BBCMS 2025 C32 A5        | BBCMS MORTGAGE TRUST 2025-C32 BBCMS 2025 C32 A5         | CUSIP: 07337AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $576310.13    | 0.43%             | 2062-02-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BLUE STREAM ISSUER LLC BSTRM 2024 1A B 144A            | BLUE STREAM ISSUER LLC BSTRM 2024 1A B 144A             | CUSIP: 09606BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251905.53    | 0.19%             | 2054-11-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A  | CUSIP: 10569TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83213.06     | 0.06%             | 2049-02-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 2                        | CUSIP: 3140QLNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229827 | PA      | $183314.08    | 0.14%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 2.5                      | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419491 | PA      | $353028.46    | 0.27%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2020 1A A2II 144A               | CUSIP: 83546DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443300 | PA      | $422227.32    | 0.32%             | 2050-01-20      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII AND STR 2019 1 A2 144A      | STORE MASTER FUNDING I-VII AND STR 2019 1 A2 144A       | CUSIP: 86212XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423788 | PA      | $365168.89    | 0.27%             | 2049-11-20      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII AND STR 2019 1 A4 144A      | STORE MASTER FUNDING I-VII AND STR 2019 1 A4 144A       | CUSIP: 86212XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116750 | PA      | $105702.81    | 0.08%             | 2049-11-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC SUBWAY 2024 1A A23 144A             | SUBWAY FUNDING LLC SUBWAY 2024 1A A23 144A              | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547250 | PA      | $553776.94    | 0.42%             | 2054-07-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2024-2 BJETS 2024 2A A 144A    | BUSINESS JET SECURITIES 2024-2 BJETS 2024 2A A 144A     | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188947 | PA      | $187633.22    | 0.14%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A B3 144A                       | CUSIP: 12510HAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $90073.85     | 0.07%             | 2050-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-3                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A3 144A     | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64878 | PA      | $56151.25     | 0.04%             | 2066-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-2                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 2 A3 144A     | CUSIP: 92539UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129050 | PA      | $130007.98    | 0.10%             | 2069-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED 2                        | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565359 | PA      | $455710.44    | 0.34%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED 3                        | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370665 | PA      | $325942.04    | 0.24%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750236 | PA      | $657135.54    | 0.49%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166682 | PA      | $145700.44    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164091 | PA      | $148751.84    | 0.11%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133064 | PA      | $120915.99    | 0.09%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARS-DB6 LP CAUTO 2022 1A B 144A                       | CARS-DB6 LP CAUTO 2022 1A B 144A                        | CUSIP: 12510HAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $161866.88    | 0.12%             | 2052-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Capital Automotive REIT                                | CAPITAL AUTOMOTIVE REIT CAUTO 2024 2A A2 144A           | CUSIP: 12510HAX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345990 | PA      | $343926.42    | 0.26%             | 2054-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 3                      | FREDDIE MAC POOL FR 05/51 FIXED 3                       | CUSIP: 3132DMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225418 | PA      | $198818.51    | 0.15%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4                      | FREDDIE MAC POOL FR 09/52 FIXED 4                       | CUSIP: 3132DN4H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179870 | PA      | $168484.49    | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED 2                        | CUSIP: 3140QNB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    958196 | PA      | $769664.25    | 0.58%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED 3.5                      | CUSIP: 3140QNGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1182165 | PA      | $1082368.39   | 0.81%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-4                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 4 M1 144A     | CUSIP: 92540GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201747.44    | 0.15%             | 2069-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| VISIO 2020-1 TRUST VISIO 2020 1 A3 144A                | VISIO 2020-1 TRUST VISIO 2020 1 A3 144A                 | CUSIP: 92837KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176000 | PA      | $166382.23    | 0.12%             | 2055-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 2.5                      | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220764 | PA      | $183854.98    | 0.14%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247043 | PA      | $1096578.16   | 0.82%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 2                        | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1187907 | PA      | $956405.06    | 0.72%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889352 | PA      | $779265.85    | 0.59%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 2.5                      | CUSIP: 3140QNUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1186838 | PA      | $999540.41    | 0.75%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515132 | PA      | $466333.14    | 0.35%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4                        | CUSIP: 3140QPJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152416 | PA      | $142959.29    | 0.11%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4.5                      | CUSIP: 3140QPJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279107 | PA      | $269421.73    | 0.20%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4.5                      | CUSIP: 3140QPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651234 | PA      | $624566.07    | 0.47%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4                        | CUSIP: 3140QPRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225751 | PA      | $211813.88    | 0.16%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4                        | CUSIP: 3140QQDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300896 | PA      | $280815.74    | 0.21%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4.5                      | CUSIP: 3140QQDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246580 | PA      | $236386.09    | 0.18%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED 5.5                      | CUSIP: 3140QQQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145494 | PA      | $146258.60    | 0.11%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/53 FIXED 4.5                      | CUSIP: 3140QS2M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472785 | PA      | $454827.67    | 0.34%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED 4.5                      | CUSIP: 3140QSPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300679 | PA      | $289446.70    | 0.22%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED 5                        | CUSIP: 3140QSPR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242202 | PA      | $237874.27    | 0.18%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/54 FIXED 5.5                      | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191667 | PA      | $191716.58    | 0.14%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/53 FIXED 5.5                      | CUSIP: 3140QTED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290721 | PA      | $290886.48    | 0.22%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5                        | CUSIP: 3140QUG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140969 | PA      | $138318.25    | 0.10%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/55 FIXED 5.5                      | CUSIP: 3140QV3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286233 | PA      | $289437.23    | 0.22%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5                        | CUSIP: 3140QVK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496495 | PA      | $489291.88    | 0.37%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5                        | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030895 | PA      | $1014650.77   | 0.76%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/54 FIXED 5                        | CUSIP: 3140QVPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028527 | PA      | $1012319.60   | 0.76%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/54 FIXED 5                        | CUSIP: 3140QVQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1008179 | PA      | $995127.90    | 0.75%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/54 FIXED 5                        | CUSIP: 3140QVWK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527874 | PA      | $518895.82    | 0.39%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/55 FIXED 5                        | CUSIP: 3140QWB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224298 | PA      | $220483.11    | 0.17%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/50 FIXED VAR                      | CUSIP: 3140X6RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93538 | PA      | $88552.76     | 0.07%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/51 FIXED VAR                      | CUSIP: 3140XA2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642513 | PA      | $514688.22    | 0.39%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/51 FIXED VAR                      | CUSIP: 3140XBLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172948 | PA      | $158293.94    | 0.12%             | 2051-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** John Hancock Exchange-Traded Fund Trust

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer